The recent U.S. subprime crisis provides us with a perfect framework to study cross-asset contagion mechanisms in the U.S. financial markets. Specifically, we look at how and to what extent a negative shock that initially ...

We use the Hinich (1996) portmanteau bicorrelation test to graphically represent nonlinear events detected in Latin American stock markets. We identity the starting, the ending, the intensity, and the persistence of nonlinear ...

The recent U.S. subprime crisis provides us with a perfect framework to study cross-asset contagion mechanisms in the U.S. financial markets. Specifically, we look at how and to what extent a negative shock that initially ...

The aim of this paper is to test whether or not there was evidence of contagion across the various financial crises that assailed some countries in the 1990s. Data on sovereign debt bonds for Brazil, Mexico, Russia and ...

The aim of this paper is to test whether or not there was evidence of contagion across the various financial crises that assailed some countries in the 1990s. Data on sovereign debt bonds for Brazil, Mexico, Russia and ...

In this paper we analyze the spread of shocks across assets markets in eight Latin American countries. First, we measure the extent of markets reactions with the Principal Components Analysis. And second, we investigate ...