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Detecting shift-contagion in currency and bond markets

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Gravelle, Toni
Kichian, Maral
Morley, James

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Article provided by Elsevier in its journal Journal of International Economics.

Volume (Year): 68 (2006)
Issue (Month): 2 (March)
Pages: 409-423
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Handle: RePEc:eee:inecon:v:68:y:2006:i:2:p:409-423

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  1. Essahbi Essaadi & Jamel Jouini & Wajih Khallouli, 2004. "The Asian Crisis Contagion: A Dynamic Correlation Approach Analysis," Post-Print halshs-00201220_v1, HAL. [Downloadable!]
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  2. Matesanz, David & Ortega , Guillermo J., 2008. "Network analysis of exchange data: Interdependence drives crisis contagion," MPRA Paper 7720, University Library of Munich, Germany. [Downloadable!]
  3. Viviana Fernández, 2007. "The behavior of stock returns in the Asia-Pacific mining industry following the Iraq war," Documentos de Trabajo 243, Centro de Economía Aplicada, Universidad de Chile. [Downloadable!]
  4. Thomas Flavin & Ekaterini Panopoulou, 2006. "Shift versus traditional contagion in Asian markets," The Institute for International Integration Studies Discussion Paper Series iiisdp176, IIIS. [Downloadable!]
  5. Thomas J. flavin & Ekaterini Panopoulou, 2008. "Detecting shift and pure contagion in East Asian equity markets: A Unified Approach," Economics, Finance and Accounting Department Working Paper Series n1890208.pdf, Department of Economics, Finance and Accounting, National University of Ireland - Maynooth. [Downloadable!]
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  6. Thomas Flavin & Ekaterini Panopoulou, 2006. "International Portfolio Diversification and Market Linkages in the presence of regime-switching volatility," The Institute for International Integration Studies Discussion Paper Series iiisdp167, IIIS. [Downloadable!]
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  7. Thomas J.Flavin & Ekaterini Panopoulou, 2007. "On the robustness of international portfolio diversification benefits to regime-switching volatility," Economics, Finance and Accounting Department Working Paper Series n1801007.pdf, Department of Economics, Finance and Accounting, National University of Ireland - Maynooth. [Downloadable!]
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  8. Fuchun Li, 2009. "Testing for Financial Contagion with Applications to the Canadian Banking System," Working Papers 09-14, Bank of Canada. [Downloadable!]
  9. Thomas J. Flavin & Ekaterini Panopoulou & Deren Unalmis, 2008. "On the stability of domestic financial market linkages in the presence of time-varying volatility," Economics, Finance and Accounting Department Working Paper Series n1981108.pdf, Department of Economics, Finance and Accounting, National University of Ireland - Maynooth. [Downloadable!]
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