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Citations for "Financial Market Contagion in the Asian Crisis"

by Taimur Baig & Ilan Goldfajn

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  1. Manner, Hans & Candelon, Bertrand, 2007. "Testing for Asset Market Linkages: A new Approach based on Time-Varying Copulas," Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR) 052, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
  2. Bodart, Vincent & Candelon, Bertrand, 2009. "Evidence of interdependence and contagion using a frequency domain framework," Emerging Markets Review, Elsevier, Elsevier, vol. 10(2), pages 140-150, June.
  3. Dungey, Mardi & Gajurel, Dinesh, 2014. "Equity market contagion during the global financial crisis: Evidence from the world's eight largest economies," Economic Systems, Elsevier, Elsevier, vol. 38(2), pages 161-177.
  4. Marcel Fratzscher, 2003. "On currency crises and contagion," International Journal of Finance & Economics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 8(2), pages 109-129.
  5. Oscar Villar & Esther Vayá, 2005. "Financial Contagion between Economies - an Exploratory Spatial Analysis," ERSA conference papers ersa05p574, European Regional Science Association.
  6. Francisco J. Climent & Vicente Meneu, . "Has 1997 Asian Crisis Increased Information Flows Between International Markets?," Working Papers on International Economics and Finance 01-01, FEDEA.
  7. Forbes, Kristin J., 2004. "The Asian flu and Russian virus: the international transmission of crises in firm-level data," Journal of International Economics, Elsevier, Elsevier, vol. 63(1), pages 59-92, May.
  8. 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.
  9. Bartram, Sohnke M. & Brown, Gregory W. & Hund, John E., 2007. "Estimating systemic risk in the international financial system," Journal of Financial Economics, Elsevier, Elsevier, vol. 86(3), pages 835-869, December.
  10. Olcay Yucel Culha & Fatih Ozatay & Gulbin Sahinbeyoglu, 2006. "The Determinants of Sovereign Spreads in Emerging Markets," Working Papers, Research and Monetary Policy Department, Central Bank of the Republic of Turkey 0604, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
  11. Wink Joosten, 2004. "The Asian Financial Crisis in Retrospect: What Happened? What Can We Conclude?," CPB Memorandum, CPB Netherlands Bureau for Economic Policy Analysis 87, CPB Netherlands Bureau for Economic Policy Analysis.
  12. Ilan Goldfajn & Taimur Baig, 1999. "Monetary policy in the aftermath of currency crisis: the case of Asia," Textos para discussão, Department of Economics PUC-Rio (Brazil) 399, Department of Economics PUC-Rio (Brazil).
  13. Favero, Carlo A. & Giavazzi, Francesco, 2002. "Is the international propagation of financial shocks non-linear?: Evidence from the ERM," Journal of International Economics, Elsevier, Elsevier, vol. 57(1), pages 231-246, June.
  14. Komulainen, Tuomas, 2001. "Currency Crises in Emerging Markets: Capital Flows and Herding Behaviour," BOFIT Discussion Papers, Bank of Finland, Institute for Economies in Transition 10/2001, Bank of Finland, Institute for Economies in Transition.
  15. Giancarol Corsetti & Paolo Pesenti & Nouriel Roubini & Cedric Tille, 1999. "Competitive devaluations: a welfare-based approach," Staff Reports, Federal Reserve Bank of New York 58, Federal Reserve Bank of New York.
  16. Anders C. Johansson, 2011. "Financial Markets in East Asia and Europe during the Global Financial Crisis," The World Economy, Wiley Blackwell, Wiley Blackwell, vol. 34, pages 1088-1105, 07.
  17. Haile, Fasika & Pozo, Susan, 2008. "Currency crisis contagion and the identification of transmission channels," International Review of Economics & Finance, Elsevier, Elsevier, vol. 17(4), pages 572-588, October.
  18. Paul Louis Ceriel Hilbers & Alfredo Mario Leone & Mahinder Singh Gill & Owen Evens, 2000. "Macroprudential Indicators of Financial System Soundness," IMF Occasional Papers, International Monetary Fund 192, International Monetary Fund.
  19. Marcello Pericoli & Massimo Sbracia, 2001. "A Primer on Financial Contagion," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area 407, Bank of Italy, Economic Research and International Relations Area.
  20. Henri Bernard & Joseph Bisignano, 2000. "Information, liquidity and risk in the international interbank market: implicit guarantees and private credit market failure," BIS Working Papers 86, Bank for International Settlements.
  21. Essahbi Essaadi & Jamel Jouini & Wajih Khallouli, 2009. "The Asian Crisis Contagion: A Dynamic Correlation Approach Analysis," Post-Print, HAL halshs-00404386, HAL.
  22. Helmut Wagner & Wolfram Berger, 2004. "Globalization, Financial Volatility and Monetary Policy," Empirica, Springer, Springer, vol. 31(2), pages 163-184, June.
  23. Zihui Ma & Leonard Cheng, 2005. "The Effects of Financial Crises on International Trade," NBER Chapters, National Bureau of Economic Research, Inc, in: International Trade in East Asia, NBER-East Asia Seminar on Economics, Volume 14, pages 253-286 National Bureau of Economic Research, Inc.
  24. Andrew K. Rose & Mark M. Spiegel, 2009. "Cross-country causes and consequences of the 2008 crisis: international linkages and American exposure," Working Paper Series, Federal Reserve Bank of San Francisco 2009-18, Federal Reserve Bank of San Francisco.
  25. Marais, Elise & Bates, Samuel, 2006. "An empirical study to identify shift contagion during the Asian crisis," Economics Papers from University Paris Dauphine, Paris Dauphine University 123456789/272, Paris Dauphine University.
  26. Bertrand Candelon & Rabah Arezki & Amadou N. R. Sy, 2011. "Are there Spillover Effects From Munis?," IMF Working Papers, International Monetary Fund 11/290, International Monetary Fund.
  27. Sébastien Wälti, 2003. "Testing for contagion in international financial markets: which way to go?," IHEID Working Papers, Economics Section, The Graduate Institute of International Studies 04-2003, Economics Section, The Graduate Institute of International Studies.
  28. Collins, Daryl & Biekpe, Nicholas, 2003. "Contagion: a fear for African equity markets?," Journal of Economics and Business, Elsevier, Elsevier, vol. 55(3), pages 285-297.
  29. Kristin Forbes, 2000. "The Asian Flu and Russian Virus: Firm-level Evidence on How Crises are Transmitted Internationally," NBER Working Papers 7807, National Bureau of Economic Research, Inc.
  30. Sandra Lizarazo, 2009. "Contagion of Financial Crises in Sovereing Debt Markets," Working Papers, Centro de Investigacion Economica, ITAM 0906, Centro de Investigacion Economica, ITAM.
  31. Larry Neal & Marc D. Weidenmier, 2001. "Crises in The Global Economy from Tulips to Today: Contagion and Consequences," Claremont Colleges Working Papers, Claremont Colleges 2001-32, Claremont Colleges.
  32. Taimur Baig & Ilan Goldfajn, 2000. "The Russian default and the contagion to Brazil," Textos para discussão, Department of Economics PUC-Rio (Brazil) 420, Department of Economics PUC-Rio (Brazil).
  33. MARAIS Elise, 2004. "La contagion financi`ere : une ´etude empirique sur les causalités lors de la crise asiatique," International Finance, EconWPA 0404003, EconWPA.
  34. Zihui Ma & Leonard Cheng, 2003. "The Effects of Financial Crises on International Trade," NBER Working Papers 10172, National Bureau of Economic Research, Inc.
  35. Shaun Bond & Mardi Dungey & Renée Fry, 2006. "A Web Of Shocks: Crises Across Asian Real Estate Markets," The Journal of Real Estate Finance and Economics, Springer, Springer, vol. 32(3), pages 253-274, May.
  36. Xiaojing Zhang & Tao Sun, 2009. "Spillovers of the U.S. Subprime Financial Turmoil to Mainland China and Hong Kong SAR," IMF Working Papers, International Monetary Fund 09/166, International Monetary Fund.
  37. Lizarazo, Sandra Valentina, 2013. "Default risk and risk averse international investors," Journal of International Economics, Elsevier, Elsevier, vol. 89(2), pages 317-330.
  38. 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.
  39. Y. Malevergne & D. Sornette, 2003. "Testing the Gaussian copula hypothesis for financial assets dependences," Quantitative Finance, Taylor & Francis Journals, Taylor & Francis Journals, vol. 3(4), pages 231-250.
  40. 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.
  41. Lucía Cuadro Sáez & Marcel Fratzscher & Christian Thimann, 2007. "The transmission of emerging market shocks to global equity markets," Banco de Espa�a Working Papers, Banco de Espa�a 0727, Banco de Espa�a.
  42. Mollah, Sabur & Zafirov, Goran & Quoreshi, AMM Shahiduzzaman, 2014. "Financial Market Contagion during the Global Financial Crisis," CITR Working Paper Series, Center for Innovation and Technology Research, Blekinge Institute of Technology 2014/05, Center for Innovation and Technology Research, Blekinge Institute of Technology.
  43. Khalid, Ahmed M. & Kawai, Masahiro, 2003. "Was financial market contagion the source of economic crisis in Asia?: Evidence using a multivariate VAR model," Journal of Asian Economics, Elsevier, Elsevier, vol. 14(1), pages 131-156, February.
  44. Degryse, Hans & Elahi, Muhammad Ather & Penas, Maria Fabiana, 2012. "Determinants of Banking System Fragility: A Regional Perspective," CEPR Discussion Papers, C.E.P.R. Discussion Papers 8858, C.E.P.R. Discussion Papers.
  45. Reinhart, Carmen & Kaminsky, Graciela, 1998. "On crises, contagion, and confusion," MPRA Paper 13709, University Library of Munich, Germany.
  46. Fratzscher, M., 2001. "Financial Market Integration in Europe: On the Effects of EMU on Stock Markets," Papers 48, Quebec a Montreal - Recherche en gestion.
  47. 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.
  48. Gravelle, Toni & Kichian, Maral & Morley, James, 2006. "Detecting shift-contagion in currency and bond markets," Journal of International Economics, Elsevier, Elsevier, vol. 68(2), pages 409-423, March.
  49. gulielmo maria caporale & rea cipollini & nicola spagnolo, 2004. "Testing For Contagion: A Conditional Correlation Analysis," International Finance, EconWPA 0406003, EconWPA.
  50. Loredana Ureche-Rangau & Fabien Collado & Ulysse Galiay, 2011. "The dynamics of the volatility – trading volume relationship: New evidence from developed and emerging markets," Economics Bulletin, AccessEcon, vol. 31(3), pages 2569-2583.
  51. Baur, Dirk G., 2013. "The structure and degree of dependence: A quantile regression approach," Journal of Banking & Finance, Elsevier, Elsevier, vol. 37(3), pages 786-798.
  52. Carlos Bautista & Philippe Rous & Amine Tarazi, 2008. "The Determinants of Bank Stock Returns' Co-Movements in East Asia," Working Papers, HAL hal-00916496, HAL.
  53. Jirasakuldech, Benjamas & Emekter, Riza & Rao, Ramesh P., 2008. "Do Thai stock prices deviate from fundamental values?," Pacific-Basin Finance Journal, Elsevier, Elsevier, vol. 16(3), pages 298-315, June.
  54. Reinhart, Carmen & Kaminsky, Graciela, 2001. "Bank Lending and Contagion: Evidence from the Asian Crisis," MPRA Paper 7580, University Library of Munich, Germany.
  55. Dirk G. Baur, 2010. "Financial Contagion and the Real Economy," CAMA Working Papers 2010-16, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  56. Tai, Chu-Sheng, 2004. "Can bank be a source of contagion during the 1997 Asian crisis?," Journal of Banking & Finance, Elsevier, Elsevier, vol. 28(2), pages 399-421, February.
  57. Hwang, Eugene & Min, Hong-Ghi & Kim, Bong-Han & Kim, Hyeongwoo, 2013. "Determinants of stock market comovements among US and emerging economies during the US financial crisis," Economic Modelling, Elsevier, Elsevier, vol. 35(C), pages 338-348.
  58. Kuan-Min Wang & Hung-Cheng Lai, 2013. "Which Global Stock Indices Trigger Stronger Contagion Risk in the Vietnamese Stock Market? Evidence Using a Bivariate Analysis," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, Savez ekonomista Vojvodine, Novi Sad, Serbia, vol. 60(4), pages 473-497, June.
  59. Giulio Cifarelli & Giovanna Paladino, 2001. "Volatility spillovers and the role of leading financial centres," Banca Nazionale del Lavoro Quarterly Review, Banca Nazionale del Lavoro, Banca Nazionale del Lavoro, vol. 54(216), pages 37-71.
  60. Amar Gande & David Parsley, 2003. "News Spillovers in the Sovereign Debt Market," Working Papers, Hong Kong Institute for Monetary Research 062003, Hong Kong Institute for Monetary Research.
  61. Richards, Peter D., 2012. "Exchange Rates, Soybean Supply Response, and Deforestation in South America," Graduate Research Masters Degree Plan B Papers, Michigan State University, Department of Agricultural, Food, and Resource Economics 138606, Michigan State University, Department of Agricultural, Food, and Resource Economics.
  62. Jokipii , Terhi & Lucey, Brian, 2006. "Contagion and interdependence: measuring CEE banking sector co-movements," Research Discussion Papers, Bank of Finland 15/2006, Bank of Finland.
  63. Takatoshi Ito & Yuko Hashimoto, 2005. "High-Frequency Contagion of Currency Crises in Asia ," Asian Economic Journal, East Asian Economic Association, East Asian Economic Association, vol. 19(4), pages 357-381, December.
  64. Saleem, Kashif, 2009. "International linkage of the Russian market and the Russian financial crisis: A multivariate GARCH analysis," Research in International Business and Finance, Elsevier, Elsevier, vol. 23(3), pages 243-256, September.
  65. Aka, Brou E., 2006. "On the duration of the financial system stability under liberalization," Emerging Markets Review, Elsevier, Elsevier, vol. 7(2), pages 147-161, June.
  66. Chiang, Thomas C. & Jeon, Bang Nam & Li, Huimin, 2007. "Dynamic correlation analysis of financial contagion: Evidence from Asian markets," Journal of International Money and Finance, Elsevier, Elsevier, vol. 26(7), pages 1206-1228, November.
  67. 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.
  68. Christiansen, Charlotte & Ranaldo, Angelo, 2009. "Extreme coexceedances in new EU member states' stock markets," Journal of Banking & Finance, Elsevier, Elsevier, vol. 33(6), pages 1048-1057, June.
  69. Kee-Hong Bae & G. Andrew Karolyi & René M. Stulz, 2003. "A New Approach to Measuring Financial Contagion," Review of Financial Studies, Society for Financial Studies, Society for Financial Studies, vol. 16(3), pages 717-763, July.
  70. 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.
  71. Khan, Saleheen & Park, Kwang Woo (Ken), 2009. "Contagion in the stock markets: The Asian financial crisis revisited," Journal of Asian Economics, Elsevier, Elsevier, vol. 20(5), pages 561-569, September.
  72. Bailey, Warren & Choi, J. Jay, 2003. "International market linkages," Journal of Economics and Business, Elsevier, Elsevier, vol. 55(5-6), pages 399-404.
  73. Bronka Rzepkowski, 2000. "The Expectations of Hong Kong Dollar Devaluation and Their Determinants," Working Papers, CEPII research center 2000-04, CEPII research center.
  74. Choudhry, Taufiq & Lu, Lin & Peng, Ke, 2007. "Common stochastic trends among Far East stock prices: Effects of the Asian financial crisis," International Review of Financial Analysis, Elsevier, Elsevier, vol. 16(3), pages 242-261.
  75. Dima Rahman, 2009. "Are Banking Systems Increasingly Fragile ? Investigating Financial Institutions’ CDS Returns Extreme Co-Movements," EconomiX Working Papers 2009-34, University of Paris West - Nanterre la Défense, EconomiX.
  76. Lim, Kian-Ping & Brooks, Robert D. & Kim, Jae H., 2008. "Financial crisis and stock market efficiency: Empirical evidence from Asian countries," International Review of Financial Analysis, Elsevier, Elsevier, vol. 17(3), pages 571-591, June.
  77. 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.
  78. Jane Sneddon Little & Giovanni P. Olivei, 1999. "Why the interest in reforming the International Monetary System?," New England Economic Review, Federal Reserve Bank of Boston, Federal Reserve Bank of Boston, issue Sep, pages 53-84.
  79. Kenourgios, Dimitris & Padhi, Puja, 2012. "Emerging markets and financial crises: Regional, global or isolated shocks?," Journal of Multinational Financial Management, Elsevier, Elsevier, vol. 22(1), pages 24-38.
  80. Pretorius, Anmar & de Beer, Jesse, 2004. "Contagion in Africa: South Africa and a troubled neighbour, Zimbabwe," Economic Modelling, Elsevier, Elsevier, vol. 21(4), pages 703-717, July.
  81. Loh, Lixia, 2013. "Co-movement of Asia-Pacific with European and US stock market returns: A cross-time-frequency analysis," Research in International Business and Finance, Elsevier, Elsevier, vol. 29(C), pages 1-13.
  82. Thi Hong Hanh Pham, 2010. "Effects of the 2008 Financial Crisis on developing Asia's Economic Growth," Economics Bulletin, AccessEcon, vol. 30(3), pages 1922-1934.
  83. Michael D. Bordo & Antu P. Murshid, 2000. "Are Financial Crises Becoming Increasingly More Contagious? What is the Historical Evidence on Contagion?," NBER Working Papers 7900, National Bureau of Economic Research, Inc.
  84. Serwa, Dobromil & Bohl, Martin T., 2005. "Financial contagion vulnerability and resistance: A comparison of European stock markets," Economic Systems, Elsevier, Elsevier, vol. 29(3), pages 344-362, September.
  85. Kim, Jung-Kwan & Ratti, Ronald A., 2006. "Economic activity, foreign exchange rate, and the interest rate during the Asian crisis," Journal of Policy Modeling, Elsevier, Elsevier, vol. 28(4), pages 387-402, May.
  86. Caporale, Guglielmo Maria & Cipollini, Andrea & Spagnolo, Nicola, 2005. "Testing for contagion: a conditional correlation analysis," Journal of Empirical Finance, Elsevier, Elsevier, vol. 12(3), pages 476-489, June.
  87. Chen, Wang & Wei, Yu & Lang, Qiaoqi & Lin, Yu & Liu, Maojuan, 2014. "Financial market volatility and contagion effect: A copula–multifractal volatility approach," Physica A: Statistical Mechanics and its Applications, Elsevier, Elsevier, vol. 398(C), pages 289-300.
  88. Lee, Hsien-Yi & Wu, Hsing-Chi & Wang, Yung-Jang, 2007. "Contagion effect in financial markets after the South-East Asia Tsunami," Research in International Business and Finance, Elsevier, Elsevier, vol. 21(2), pages 281-296, June.
  89. Hsien-Yi Lee, 2012. "Contagion in International Stock Markets during the Sub Prime Mortgage Crisis," International Journal of Economics and Financial Issues, Econjournals, Econjournals, vol. 2(1), pages 41-53.
  90. Kim, Bong-Han & Kim, Seewon, 2013. "Transmission of the global financial crisis to Korea," Journal of Policy Modeling, Elsevier, Elsevier, vol. 35(2), pages 339-353.
  91. Wang, Chaug-Jung & Lee, Chien-Hui & Huang, Bwo-Nung, 2003. "An analysis of industry and country effects in global stock returns: evidence from Asian countries and the U.S," The Quarterly Review of Economics and Finance, Elsevier, Elsevier, vol. 43(3), pages 560-577.
  92. Baek, In-Mee & Jun, Jongbyung, 2011. "Testing contagion of the 1997-98 crisis in Asian stock markets with structural breaks and incubation periods," Journal of Asian Economics, Elsevier, Elsevier, vol. 22(5), pages 356-368, October.
  93. Didier, Tatiana & Hevia, Constantino & Schmukler, Sergio L., 2011. "How resilient and countercyclical were emerging economies to the global financial crisis ?," Policy Research Working Paper Series, The World Bank 5637, The World Bank.
  94. Tai, Chu-Sheng, 2004. "Contagion: evidence from international banking industry," Journal of Multinational Financial Management, Elsevier, Elsevier, vol. 14(4-5), pages 353-368.
  95. Fornari, Fabio & Monticelli, Carlo & Pericoli, Marcello & Tivegna, Massimo, 2002. "The impact of news on the exchange rate of the lira and long-term interest rates," Economic Modelling, Elsevier, Elsevier, vol. 19(4), pages 611-639, August.
  96. Kessara Thanyalakpark & Darren Filson, . "Testing for Contagion during the Asian Crisis," Claremont Colleges Working Papers, Claremont Colleges 2001-23, Claremont Colleges.
  97. Dimitriou, Dimitrios & Mpitsios, Petros & Simos, Theodore, 2011. "Dynamic linkages and interdependence between Mediterranean region EMU markets during 2007 financial crisis," MPRA Paper 37476, University Library of Munich, Germany.
  98. Jang, Hoyoon & Sul, Wonsik, 2002. "The Asian financial crisis and the co-movement of Asian stock markets," Journal of Asian Economics, Elsevier, Elsevier, vol. 13(1), pages 94-104.
  99. Didier, Tatiana & Hevia, Constantino & Schmukler, Sergio L., 2012. "How resilient and countercyclical were emerging economies during the global financial crisis?," Journal of International Money and Finance, Elsevier, Elsevier, vol. 31(8), pages 2052-2077.
  100. Sander, Harald & Kleimeier, Stefanie, 2003. "Contagion and causality: an empirical investigation of four Asian crisis episodes," Journal of International Financial Markets, Institutions and Money, Elsevier, Elsevier, vol. 13(2), pages 171-186, April.
  101. AuYong, Hue Hwa & Gan, Christopher & Treepongkaruna, Sirimon, 2004. "Cointegration and causality in the Asian and emerging foreign exchange markets: Evidence from the 1990s financial crises," International Review of Financial Analysis, Elsevier, Elsevier, vol. 13(4), pages 479-515.
  102. Bhanot, Karan & Burns, Natasha & Hunter, Delroy & Williams, Michael, 2014. "News spillovers from the Greek debt crisis: Impact on the Eurozone financial sector," Journal of Banking & Finance, Elsevier, Elsevier, vol. 38(C), pages 51-63.
  103. Bong-Han Kim & Hyeongwoo Kim & Bong-Soo Lee, 2012. "Spillover Effects of the U.S. Financial Crisis on Financial Markets in Emerging Asian Countries," Auburn Economics Working Paper Series, Department of Economics, Auburn University auwp2012-06, Department of Economics, Auburn University.
  104. Mattiussi, V. & Iori, G., 2006. "Currency futures volatility during the 1997 East Asian crisis: an application of Fourier analysis," Working Papers, Department of Economics, City University London 06/09, Department of Economics, City University London.
  105. Jansen, W. Jos, 2003. "What do capital inflows do? Dissecting the transmission mechanism for Thailand, 1980-1996," Journal of Macroeconomics, Elsevier, Elsevier, vol. 25(4), pages 457-480, December.
  106. W. Jos Jansen, 2003. "What Do Capital Inflows Do? Dissecting the Transmission Mechanism for Thailand, 1980-96," Macroeconomics, EconWPA 0309012, EconWPA.
  107. Kallberg, Jarl & Pasquariello, Paolo, 2008. "Time-series and cross-sectional excess comovement in stock indexes," Journal of Empirical Finance, Elsevier, Elsevier, vol. 15(3), pages 481-502, June.
  108. Kole, Erik & Koedijk, Kees & Verbeek, Marno, 2006. "Portfolio implications of systemic crises," Journal of Banking & Finance, Elsevier, Elsevier, vol. 30(8), pages 2347-2369, August.
  109. Kristin J. Forbes, 2001. "Are Trade Linkages Important Determinants of Country Vulnerability to Crises?," NBER Working Papers 8194, National Bureau of Economic Research, Inc.
  110. Gallegati, Marco, 2012. "A wavelet-based approach to test for financial market contagion," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 56(11), pages 3491-3497.
  111. Neeltje van Horen & Henk Jager & Franc Klaassen, 2006. "Foreign Exchange Market Contagion in the Asian Crisis: A Regression-Based Approach," Review of World Economics (Weltwirtschaftliches Archiv), Springer, Springer, vol. 142(2), pages 374-401, July.
  112. Didier, Tatiana & Mauro, Paolo & Schmukler, Sergio L., 2008. "Vanishing financial contagion?," Journal of Policy Modeling, Elsevier, Elsevier, vol. 30(5), pages 775-791.
  113. Dungey, Mardi & Fry, Renee & Gonzalez-Hermosillo, Brenda & Martin, Vance, 2006. "Contagion in international bond markets during the Russian and the LTCM crises," Journal of Financial Stability, Elsevier, Elsevier, vol. 2(1), pages 1-27, April.
  114. El Ghini, Ahmed & Saidi, Youssef, 2014. "Return and Volatility Spillovers in the Moroccan Stock Market During The Financial Crisis," MPRA Paper 53439, University Library of Munich, Germany.
  115. Melisso Boschi, 2005. "International financial contagion: evidence from the Argentine crisis of 2001-2002," Applied Financial Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 15(3), pages 153-163.
  116. Szafarz, Ariane & Brière, Marie, 2008. "Crisis-Robust Bond Portfolios," Economics Papers from University Paris Dauphine, Paris Dauphine University 123456789/7748, Paris Dauphine University.
  117. Ahmad, Wasim & Sehgal, Sanjay & Bhanumurthy, N.R., 2013. "Eurozone crisis and BRIICKS stock markets: Contagion or market interdependence?," Economic Modelling, Elsevier, Elsevier, vol. 33(C), pages 209-225.
  118. Choudhry, Taufiq, 2005. "Time-varying beta and the Asian financial crisis: Evidence from Malaysian and Taiwanese firms," Pacific-Basin Finance Journal, Elsevier, Elsevier, vol. 13(1), pages 93-118, January.
  119. Jorge A. Chan-Lau & Iryna V. Ivaschenko, 2002. "Asian Flu or Wall Street Virus? Price and Volatility Spillovers of the Tech and Non-Tech Sectors in the United States and Asia," IMF Working Papers, International Monetary Fund 02/154, International Monetary Fund.
  120. Ye, Wuyi & Liu, Xiaoquan & Miao, Baiqi, 2012. "Measuring the subprime crisis contagion: Evidence of change point analysis of copula functions," European Journal of Operational Research, Elsevier, Elsevier, vol. 222(1), pages 96-103.
  121. Marcelo Pinheiro, 2005. "Informational asymmetries and a multiplier effect on price correlation and trading," Annals of Finance, Springer, Springer, vol. 1(4), pages 395-421, October.
  122. Giovanni De Luca & Paola Zuccolotto, 2011. "A tail dependence-based dissimilarity measure for financial time series clustering," Advances in Data Analysis and Classification, Springer, Springer, vol. 5(4), pages 323-340, December.
  123. Michael Chui, 2002. "Leading indicators of balance-of-payments crises: a partial review," Bank of England working papers, Bank of England 171, Bank of England.
  124. Zouheir Mighri & Faysal Mansouri, 2013. "Dynamic Conditional Correlation Analysis of Stock Market Contagion: Evidence from the 2007-2010 Financial Crises," International Journal of Economics and Financial Issues, Econjournals, Econjournals, vol. 3(3), pages 637-661.
  125. Morales, Lucía & Andreosso-O’Callaghan, Bernadette, 2012. "The current global financial crisis: Do Asian stock markets show contagion or interdependence effects?," Journal of Asian Economics, Elsevier, Elsevier, vol. 23(6), pages 616-626.
  126. Samitas, Aristeidis & Tsakalos, Ioannis, 2013. "How can a small country affect the European economy? The Greek contagion phenomenon," Journal of International Financial Markets, Institutions and Money, Elsevier, Elsevier, vol. 25(C), pages 18-32.
  127. Cifarelli, Giulio & Paladino, Giovanna, 2005. "Volatility linkages across three major equity markets: A financial arbitrage approach," Journal of International Money and Finance, Elsevier, Elsevier, vol. 24(3), pages 413-439, April.
  128. 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.
  129. Bong-Han Kim & Hyeongwoo Kim & Hong-Ghi Min, 2011. "Reassessing the Link between the Japanese Yen and Emerging Asian Currencies," Auburn Economics Working Paper Series, Department of Economics, Auburn University auwp2011-05, Department of Economics, Auburn University.
  130. Tai, Chu-Sheng, 2004. "Looking for risk premium and contagion in Asia-Pacific foreign exchange markets," International Review of Financial Analysis, Elsevier, Elsevier, vol. 13(4), pages 381-409.
  131. Ivan Diaz-Rainey & Mathias Siems & John K. Ashton, 2011. "The financial regulation of energy and environmental markets," Journal of Financial Regulation and Compliance, Emerald Group Publishing, Emerald Group Publishing, vol. 19(4), pages 355-369, November.
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