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Citations for "Correlation Analysis of Financial Contagion: What One Should Know before Running a Test"

by Giancarlo Corsetti & Marcello Pericoli & Massimo Sbracia

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  1. Berben, Robert-Paul & Jansen, W. Jos, 2005. "Comovement in international equity markets: A sectoral view," Journal of International Money and Finance, Elsevier, vol. 24(5), pages 832-857, September.
  2. William N. Goetzmann & Lingfeng Li & K. Geert Rouwenhorst, 2005. "Long-Term Global Market Correlations," The Journal of Business, University of Chicago Press, vol. 78(1), pages 1-38, January.
  3. Urbina, Jilber, 2013. "Contagion or Interdependence in the recent Global Financial Crisis? An application to the stock markets using unconditional cross-market correlations," Working Papers 2072/211884, Universitat Rovira i Virgili, Department of Economics.
  4. gulielmo maria caporale & rea cipollini & nicola spagnolo, 2004. "Testing For Contagion: A Conditional Correlation Analysis," International Finance 0406003, EconWPA.
  5. Martin, V. & Dungey & M., 2004. "Empirical Modelling of Contagion: A Review of Methodologies," Econometric Society 2004 Far Eastern Meetings 574, Econometric Society.
  6. Massimo Sbracia & Andrea Zaghini, 2003. "The Role of the Banking System in the International Transmission of Shocks," The World Economy, Wiley Blackwell, vol. 26(5), pages 727-754, 05.
  7. Erika Corona & Sabrina Ecca & Michele Marchesi & Alessio Setzu, 2008. "The Interplay Between Two Stock Markets and a Related Foreign Exchange Market: A Simulation Approach," Computational Economics, Society for Computational Economics, vol. 32(1), pages 99-119, September.
  8. Apostolos Thomadakis, 2012. "Measuring Financial Contagion with Extreme Coexceedances," School of Economics Discussion Papers 1112, School of Economics, University of Surrey.
  9. Diana Zhumabekova & Mardi Dungey, 2001. "Factor analysis of a model of stock market returns using simulation-based estimation techniques," Pacific Basin Working Paper Series 2001-08, Federal Reserve Bank of San Francisco.
  10. Paolo Manasse & Luca Zavalloni, 2013. "Sovereign Contagion in Europe: Evidence from the CDS Market," Working Paper Series 08_13, The Rimini Centre for Economic Analysis.
  11. Baur, Dirk & Schulze, Niels, 2005. "Coexceedances in financial markets--a quantile regression analysis of contagion," Emerging Markets Review, Elsevier, vol. 6(1), pages 21-43, April.
  12. Roberto Casarin & Marco Tronzano & Domenico Sartore, 2013. "Bayesian Markov Switching Stochastic Correlation Models," Working Papers 2013:11, Department of Economics, University of Venice "Ca' Foscari".
  13. Sarai Criado Nuevo, 2005. "Some critics to the contagion correlation test," Working Papers 05-01, Asociación Española de Economía y Finanzas Internacionales.
  14. Dirk Baur & Renee Fry, 2006. "Endogenous Contagion - A Panel Data Analysis," CAMA Working Papers 2006-09, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  15. Marcello Pericoli & Massimo Sbracia, 2003. "A Primer on Financial Contagion," Journal of Economic Surveys, Wiley Blackwell, vol. 17(4), pages 571-608, 09.
  16. Sergio Andenmatten & Felix Brill, 2011. "Measuring Co-Movements of CDS Premia during the Greek Debt Crisis," Diskussionsschriften dp1104, Universitaet Bern, Departement Volkswirtschaft.
  17. Apostolos Thomadakis, 2012. "Contagion or Flight-to-Quality Phenomena in Stock and Bond Returns," School of Economics Discussion Papers 0612, School of Economics, University of Surrey.
  18. Elise MARAIS, 2007. "Mécanismes De Propag Ation Régionale De La Crise Boursière Asiatique," Region et Developpement, Region et Developpement, LEAD, Universite du Sud - Toulon Var, vol. 26, pages 13-33.
  19. Thomas Flavin & Ekaterini Panopoulou, 2006. "Shift versus traditional contagion in Asian markets," The Institute for International Integration Studies Discussion Paper Series iiisdp176, IIIS.
  20. Bayoumi, Tamim & Fazio, Giorgio & Kumar, Manmohan & MacDonald, Ronald, 2007. "Fatal attraction: Using distance to measure contagion in good times as well as bad," Review of Financial Economics, Elsevier, vol. 16(3), pages 259-273.
  21. Mardi Dungey & Renée Fry & Vance L. Martin, 2006. "Correlation, Contagion, and Asian Evidence," Asian Economic Papers, MIT Press, vol. 5(2), pages 32-72, June.
  22. Corsetti, Giancarlo & Pericoli, Marcello & Sbracia, Massimo, 2002. "Some Contagion, Some Interdependence: More Pitfalls in Tests of Financial Contagion," CEPR Discussion Papers 3310, C.E.P.R. Discussion Papers.
  23. Mardi Dungey & Renee Fry & Vance Martin & Brenda González-Hermosillo, 2004. "Empirical Modeling of Contagion," IMF Working Papers 04/78, International Monetary Fund.