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Citations for "Econometric Issues in the Analysis of Contagion"

by M. Hashem Pesaran & Andreas Pick

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  1. Sokbae Lee & Myung Hwan Seo, 2007. "Semiparametric estimation of a binary response model with a change-point due to a covariate threshold," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library 6806, London School of Economics and Political Science, LSE Library.
  2. Ludwig, Alexander, 2013. "Sovereign risk contagion in the Eurozone: a time-varying coefficient approach," MPRA Paper 52340, University Library of Munich, Germany.
  3. 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, Department of Economics, Finance and Accounting, National University of Ireland - Maynooth n1981108.pdf, Department of Economics, Finance and Accounting, National University of Ireland - Maynooth.
  4. Christian Leschinski, Christian & Bertram, Philip, 2013. "Contagion Dynamics in EMU Government Bond Spreads," Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät dp-515, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  5. Dirk G. Baur, 2010. "Financial Contagion and the Real Economy," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University 2010-16, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  6. 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, Universitat Rovira i Virgili, Department of Economics 2072/211884, Universitat Rovira i Virgili, Department of Economics.
  7. Mardi Dungey & George Milunovich & Susan Thorp & Minxian Yang, 2012. "Endogenous Crisis Dating and Contagion Using Smooth Transition Structural GARCH," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney 312, Quantitative Finance Research Centre, University of Technology, Sydney.
  8. Insel, Aysu & Korkmaz, Abdurrahman, 2010. "The contagion effect: evidences from former Soviet Economies in Eastern Europe," MPRA Paper 24999, University Library of Munich, Germany.
  9. Dewandaru, Ginanjar & Alaoui, Abdelkader & Masih, A. Mansur M. & Alhabshi, Syed Othman, 2013. "Comovement and resiliency of Islamic equity market: Evidence from GCC Islamic equity index based on wavelet analysis," MPRA Paper 56980, University Library of Munich, Germany.
  10. Boyson, Nicole M. & Stahel, Christof W. & Stulz, Rene, 2008. "Hedge Fund Contagion and Liquidity," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics 2008-8, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
  11. Kerstin Bernoth & Andreas Pick, 2009. "Forecasting the Fragility of the Banking and Insurance Sector," Discussion Papers of DIW Berlin 882, DIW Berlin, German Institute for Economic Research.
  12. Francisco Blasques & Siem Jan Koopman & Andre Lucas & and Julia Schaumburg, 2014. "Spillover Dynamics for Systemic Risk Measurement using Spatial Financial Time Series Models," Tinbergen Institute Discussion Papers, Tinbergen Institute 14-107/III, Tinbergen Institute.
  13. Chrismin Tang & Mardi Dungey & Vance Martin & Brenda González-Hermosillo & Renee Fry, 2010. "Are Financial Crises Alike?," IMF Working Papers, International Monetary Fund 10/14, International Monetary Fund.
  14. Dirk Baur & Renee Fry, 2006. "Endogenous Contagion - A Panel Data Analysis," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University 2006-09, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  15. Dimitriou, Dimitrios & Kenourgios, Dimitris, 2013. "Financial crises and dynamic linkages among international currencies," Journal of International Financial Markets, Institutions and Money, Elsevier, Elsevier, vol. 26(C), pages 319-332.
  16. Andreas Pick, 2007. "Financial contagion and tests using instrumental variables," DNB Working Papers, Netherlands Central Bank, Research Department 139, Netherlands Central Bank, Research Department.
  17. Valerie De Bruyckere & Maria Gerhardt & Glenn Schepens & Rudi Vander Vennet, 2012. "Bank/sovereign risk spillovers in the European debt crisis," Working Paper Research, National Bank of Belgium 232, National Bank of Belgium.
  18. Metiu Norbert, 2011. "Financial contagion in developed sovereign bond markets," Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR) 004, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
  19. Støve, Bård & Tjøstheim, Dag & Hufthammer, Karl Ove, 2014. "Using local Gaussian correlation in a nonlinear re-examination of financial contagion," Journal of Empirical Finance, Elsevier, Elsevier, vol. 25(C), pages 62-82.
  20. Kenourgios, Dimitris & Samitas, Aristeidis & Paltalidis, Nikos, 2011. "Financial crises and stock market contagion in a multivariate time-varying asymmetric framework," Journal of International Financial Markets, Institutions and Money, Elsevier, Elsevier, vol. 21(1), pages 92-106, February.
  21. Pesaran, M. Hashem & Timmermann, Allan, 2006. "Testing Dependence among Serially Correlated Multi-Category Variables," IZA Discussion Papers 2196, Institute for the Study of Labor (IZA).
  22. Massacci, D., 2007. "Identification and Estimation in an Incoherent Model of Contagion," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge 0744, Faculty of Economics, University of Cambridge.
  23. Massimiliano Caporin & Loriana Pelizzon & Francesco Ravazzolo & Roberto Rigobon, 2013. "Measuring Sovereign Contagion in Europe," NBER Working Papers 18741, National Bureau of Economic Research, Inc.
  24. De Bruyckere, Valerie & Gerhardt, Maria & Schepens, Glenn & Vander Vennet, Rudi, 2013. "Bank/sovereign risk spillovers in the European debt crisis," Journal of Banking & Finance, Elsevier, Elsevier, vol. 37(12), pages 4793-4809.
  25. Metiu, Norbert, 2012. "Sovereign risk contagion in the Eurozone," Economics Letters, Elsevier, Elsevier, vol. 117(1), pages 35-38.
  26. Kohonen, Anssi, 2012. "Transmission of Government Default Risk in the Eurozone," MPRA Paper 43823, University Library of Munich, Germany.
  27. Emanuele Bacchiocchi & Marta Bevilacqua, 2009. "International crises, instability periods and contagion: the case of the ERM," International Review of Economics, Springer, Springer, vol. 56(2), pages 105-122, June.
  28. Mardi Dungey & Renee Fry & Brenda Gonzalez-Hermosillo & Vance Martin, 2005. "Empirical modelling of contagion: a review of methodologies," Quantitative Finance, Taylor & Francis Journals, Taylor & Francis Journals, vol. 5(1), pages 9-24.
  29. de Bandt,O. & Malik, S., 2010. "Is there Evidence of Shift-Contagion in International Housing Markets?," Working papers, Banque de France 295, Banque de France.
  30. Simone Manganelli & Lorenzo Cappiello & Bruno Gerard, 2004. "The Contagion Box: Measuring Co-Movements in Financial Markets by Regression Quantiles," Econometric Society 2004 Latin American Meetings, Econometric Society 77, Econometric Society.
  31. Rotta, Pedro Nielsen & Pereira, Pedro Luiz Valls, 2013. "Analysis of contagion from the constant conditional correlation model with Markov regime switching," Textos para discussão, Escola de Economia de São Paulo, Getulio Vargas Foundation (Brazil) 340, Escola de Economia de São Paulo, Getulio Vargas Foundation (Brazil).
  32. Richard C. K. Burdekin & Pierre L. Siklos, 2011. "Enter the Dragon: Interactions between Chinese, US and Asia-Pacific Equity Markets, 1995-2010," Working Papers, Hong Kong Institute for Monetary Research 232011, Hong Kong Institute for Monetary Research.
  33. DeLisle Worrell, 2004. "Quantitative Assessment of the Financial Sector," IMF Working Papers, International Monetary Fund 04/153, International Monetary Fund.
  34. Dungey, Mardi & Milunovich, George & Thorp, Susan, 2010. "Unobservable shocks as carriers of contagion," Journal of Banking & Finance, Elsevier, Elsevier, vol. 34(5), pages 1008-1021, May.
  35. Kohonen, Anssi, 2013. "On detection of volatility spillovers in overlapping stock markets," Journal of Empirical Finance, Elsevier, Elsevier, vol. 22(C), pages 140-158.
  36. Mohammad Karimi & Marcel-Cristian Voia, 2011. "Empirics of Currency Crises: A Duration Analysis Approach," Carleton Economic Papers, Carleton University, Department of Economics 11-11, Carleton University, Department of Economics.
  37. Hakan Yilmazkuday, 2008. "Twin Crises in Turkey: A Comparison of Currency Crisis Models," European Journal of Comparative Economics, Cattaneo University (LIUC), Cattaneo University (LIUC), vol. 5(1), pages 107-124, June.
  38. Nagayasu, Jun, 2013. "Co-movements in Real Effective Exchange Rates: Evidence from the Dynamic Hierarchical Factor Model," SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) 2013-66, Scottish Institute for Research in Economics (SIRE).
  39. Mardi Dungey & Renee Fry & Vance Martin & Brenda González-Hermosillo, 2004. "Empirical Modeling of Contagion," IMF Working Papers, International Monetary Fund 04/78, International Monetary Fund.
  40. Baur, Dirk G. & Fry, Renée A., 2009. "Multivariate contagion and interdependence," Journal of Asian Economics, Elsevier, Elsevier, vol. 20(4), pages 353-366, September.
  41. Joshua C.C. Chan & Cody Yu-Ling Hsiao & Renée A. Fry-McKibbin, 2013. "A Regime Switching Skew-normal Model for Measuring Financial Crisis and Contagion," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University 2013-15, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  42. Ahlgren, Niklas & Antell, Jan, 2010. "Stock market linkages and financial contagion: A cobreaking analysis," The Quarterly Review of Economics and Finance, Elsevier, Elsevier, vol. 50(2), pages 157-166, May.
  43. Mardi Dungey & George Milunovich & Susan Thorp, 2008. "Unobservable Shocks as Carriers of Contagion: A Dynamic Analysis Using Identified Structural GARCH," NCER Working Paper Series, National Centre for Econometric Research 22, National Centre for Econometric Research.
  44. Andrea Cipollini & Iolanda Lo Cascio, 2010. "Testing for Contagion: a Time-Scale Decomposition," Center for Economic Research (RECent), University of Modena and Reggio E., Dept. of Economics 047, University of Modena and Reggio E., Dept. of Economics.
  45. Bussière, Matthieu, 2007. "Balance of payment crises in emerging markets: how early were the “early” warning signals?," Working Paper Series, European Central Bank 0713, European Central Bank.
  46. Kohonen, Anssi, 2012. "On detection of volatility spillovers in simultaneously open stock markets," MPRA Paper 37504, University Library of Munich, Germany.
  47. Billio, Monica & Caporin, Massimiliano, 2010. "Market linkages, variance spillovers, and correlation stability: Empirical evidence of financial contagion," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 54(11), pages 2443-2458, November.
  48. Tola, Albi & Wälti, Sébastien, 2012. "Deciphering financial contagion in the euro area during the crisis," MPRA Paper 49251, University Library of Munich, Germany.
  49. Abdurrahman, Korkmaz, 2012. "The transmission process of financial crises across the emerging markets: an alternative consideration," MPRA Paper 37421, University Library of Munich, Germany.
  50. Le Pen, Yannick & Sévi, Benoît, 2010. "Revisiting the excess co-movements of commodity prices in a data-rich environment," Economics Papers from University Paris Dauphine, Paris Dauphine University 123456789/6800, Paris Dauphine University.
  51. Felices, Guillermo & Grisse, Christian & Yang, Jing, 2009. "International financial transmission: emerging and mature markets," Bank of England working papers, Bank of England 373, Bank of England.
  52. Apostolos Thomadakis, 2012. "Measuring Financial Contagion with Extreme Coexceedances," School of Economics Discussion Papers, School of Economics, University of Surrey 1112, School of Economics, University of Surrey.
  53. Chang, Guang-Di & Chen, Chia-Shih, 2014. "Evidence of contagion in global REITs investment," International Review of Economics & Finance, Elsevier, Elsevier, vol. 31(C), pages 148-158.
  54. Roberta De Santis, 2004. "Has Trade Structure Any Importance in the Trasmission of Currency Shocks? An Empirical Application for Central and Eastern European Acceding Countries to Eu," ISAE Working Papers, ISTAT - Italian National Institute of Statistics - (Rome, ITALY) 43, ISTAT - Italian National Institute of Statistics - (Rome, ITALY).
  55. Elena-Ivona Dumitrescu & Bertrand Candelon & Christophe Hurlin & Franz C. Palm, 2012. "Multivariate Dynamic Probit Models: An Application to Financial Crises Mutation," Working Papers, HAL halshs-00630036, HAL.