On the stability of domestic financial market linkages in the presence of time-varying volatility
Author
Abstract
Suggested Citation
Download full text from publisher
Other versions of this item:
- Flavin, Thomas J. & Panopoulou, Ekaterini & Unalmis, Deren, 2008. "On the stability of domestic financial market linkages in the presence of time-varying volatility," Emerging Markets Review, Elsevier, vol. 9(4), pages 280-301, December.
- Thomas J. Flavin & Ekaterini Panopoulou & Deren Unalmis, 2008. "On the Stability of Domestic Financial Market Linkages in the Presence of time-varying Volatility," Working Papers 0810, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
References listed on IDEAS
- P. Hartmann & S. Straetmans & C. G. de Vries, 2004.
"Asset Market Linkages in Crisis Periods,"
The Review of Economics and Statistics, MIT Press, vol. 86(1), pages 313-326, February.
- Hartmann, Philipp & Straetmans, Stefan & de Vries, Casper, 2001. "Asset market linkages in crisis periods," Working Paper Series 71, European Central Bank.
- P. Hartmann & S. Straetmans & C.G. de Vries, 2001. "Asset Market Linkages in Crisis Periods," Tinbergen Institute Discussion Papers 01-071/2, Tinbergen Institute.
- de Vries, Casper & Hartmann, Philipp & Straetmans, Stefan, 2001. "Asset Market Linkages in Crisis Periods," CEPR Discussion Papers 2916, C.E.P.R. Discussion Papers.
- Casper G. De Vries & Philipp Hartman & Stefan Straetmans, 2001. "Asset market linkages in crisis periods," Proceedings 727, Federal Reserve Bank of Chicago.
- Hartmann, P. & Straetmans, S. & De Vries, C.G., 2001. "Asset Market Linkages in Crisis Periods," Papers 71, Quebec a Montreal - Recherche en gestion.
- Andrew Ang & Geert Bekaert, 2002. "International Asset Allocation With Regime Shifts," The Review of Financial Studies, Society for Financial Studies, vol. 15(4), pages 1137-1187.
- Pesaran, M. Hashem & Pick, Andreas, 2007.
"Econometric issues in the analysis of contagion,"
Journal of Economic Dynamics and Control, Elsevier, vol. 31(4), pages 1245-1277, April.
- Pesaran, M.H. & Pick, A., 2004. "Econometric Issues in the Analysis of Contagion," Cambridge Working Papers in Economics 0402, Faculty of Economics, University of Cambridge.
- M. Hashem Pesaran & Andreas Pick, 2004. "Econometric Issues in the Analysis of Contagion," CESifo Working Paper Series 1176, CESifo.
- Hashem Pesaran & Andreas Pick, 2004. "Econometric Issues in the Analysis of Contagion," Money Macro and Finance (MMF) Research Group Conference 2004 67, Money Macro and Finance Research Group.
- Thomas J. Flavin & Ekaterini Panopoulou, 2010.
"Detecting Shift And Pure Contagion In East Asian Equity Markets: A Unified Approach,"
Pacific Economic Review, Wiley Blackwell, vol. 15(3), pages 401-421, August.
- Thomas J. Flavin and Ekaterini Panopoulou, 2007. "Detecting Shift and Pure Contagion in East Asian Equity Markets: A Unified Approach," The Institute for International Integration Studies Discussion Paper Series iiisdp236, IIIS.
- Thomas J. flavin & Ekaterini Panopoulou, 2008. "Detecting shift and pure contagion in East Asian equity markets: A Unified Approach," Economics Department Working Paper Series n1890208.pdf, Department of Economics, National University of Ireland - Maynooth.
- 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, vol. 26(7), pages 1206-1228, November.
- Valerie Cerra & Sweta Chaman Saxena, 2002. "Contagion, Monsoons, and Domestic Turmoil in Indonesia’s Currency Crisis," Review of International Economics, Wiley Blackwell, vol. 10(1), pages 36-44, February.
- Marcello Pericoli & Massimo Sbracia, 2003.
"A Primer on Financial Contagion,"
Journal of Economic Surveys, Wiley Blackwell, vol. 17(4), pages 571-608, September.
- Marcello Pericoli & Massimo Sbracia, 2001. "A Primer on Financial Contagion," Temi di discussione (Economic working papers) 407, Bank of Italy, Economic Research and International Relations Area.
- MArdi Dungey & Renee Fry & Brenda Gonzales-Hermosillo & Vance L. Martin & Chrismin Tang, 2008.
"Are Financial Crises Alike?,"
CAMA Working Papers
2008-15, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Chrismin Tang & Mr. Mardi Dungey & Mr. Vance Martin & Ms. Brenda Gonzalez-Hermosillo & Ms. Renee Fry, 2010. "Are Financial Crises Alike?," IMF Working Papers 2010/014, International Monetary Fund.
- Rigobon, Roberto, 2003. "On the measurement of the international propagation of shocks: is the transmission stable?," Journal of International Economics, Elsevier, vol. 61(2), pages 261-283, December.
- Mardi Dungey & George Milunovich & Susan Thorp, 2008. "Unobservable Shocks as Carriers of Contagion: A Dynamic Analysis Using Identified Structural GARCH," NCER Working Paper Series 22, National Centre for Econometric Research.
- Roberto Rigobon, 2002.
"Contagion: How to Measure It?,"
NBER Chapters, in: Preventing Currency Crises in Emerging Markets, pages 269-334,
National Bureau of Economic Research, Inc.
- Roberto Rigobon, 2001. "Contagion: How to Measure It?," NBER Working Papers 8118, National Bureau of Economic Research, Inc.
- Anna Pavlova & Roberto Rigobon, 2007.
"Asset Prices and Exchange Rates,"
The Review of Financial Studies, Society for Financial Studies, vol. 20(4), pages 1139-1180.
- Anna Pavlova & Roberto Rigobon, 2003. "Asset Prices and Exchange Rates," NBER Working Papers 9834, National Bureau of Economic Research, Inc.
- Pavlova, Anna & Rigobon, Roberto, 2004. "Asset Prices and Exchange Rates," Working papers 4322-03, Massachusetts Institute of Technology (MIT), Sloan School of Management.
- Roberto Rigobon & Anna Pavlova, 2004. "Asset Prices and Exchange Rates," Econometric Society 2004 North American Winter Meetings 579, Econometric Society.
- Pavlova, Anna & Rigobon, Roberto, 2003. "Asset Prices and Exchange Rates," Working papers 4322-03, Massachusetts Institute of Technology (MIT), Sloan School of Management.
- Flavin, Thomas J. & Panopoulou, Ekaterini, 2009.
"On the robustness of international portfolio diversification benefits to regime-switching volatility,"
Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 19(1), pages 140-156, February.
- Thomas J.Flavin & Ekaterini Panopoulou, 2007. "On the robustness of international portfolio diversification benefits to regime-switching volatility," Economics Department Working Paper Series n1801007.pdf, Department of Economics, National University of Ireland - Maynooth.
- Edwards, Sebastian & Rigobon, Roberto, 2002. "Currency crises and contagion: an introduction," Journal of Development Economics, Elsevier, vol. 69(2), pages 307-313, December.
- Hamilton, James D, 1989. "A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle," Econometrica, Econometric Society, vol. 57(2), pages 357-384, March.
- 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.
- Favero, Carlo A. & Giavazzi, Francesco, 2002. "Is the international propagation of financial shocks non-linear?: Evidence from the ERM," Journal of International Economics, Elsevier, vol. 57(1), pages 231-246, June.
- Massimo Guidolin & Allan Timmermann, 2005. "Economic Implications of Bull and Bear Regimes in UK Stock and Bond Returns," Economic Journal, Royal Economic Society, vol. 115(500), pages 111-143, January.
- Granger, Clive W. J. & Huangb, Bwo-Nung & Yang, Chin-Wei, 2000.
"A bivariate causality between stock prices and exchange rates: evidence from recent Asianflu,"
The Quarterly Review of Economics and Finance, Elsevier, vol. 40(3), pages 337-354.
- Granger, Clive W.J. & Huang, Bwo-Nung & Yang, Chin W., 1998. "A Bivariate Causality between Stock Prices and Exchange Rates: Evidence from Recent Asia Flu," University of California at San Diego, Economics Working Paper Series qt9bk607p6, Department of Economics, UC San Diego.
- Dungey, Mardi & Milunovich, George & Thorp, Susan, 2010. "Unobservable shocks as carriers of contagion," Journal of Banking & Finance, Elsevier, vol. 34(5), pages 1008-1021, May.
- Ms. Renee Fry & Mr. Vance Martin & Ms. Brenda Gonzalez-Hermosillo & Mr. Mardi Dungey, 2002. "International Contagion Effects from the Russian Crisis and the LTCM Near-Collapse," IMF Working Papers 2002/074, International Monetary Fund.
- Gravelle, Toni & Kichian, Maral & Morley, James, 2006.
"Detecting shift-contagion in currency and bond markets,"
Journal of International Economics, Elsevier, vol. 68(2), pages 409-423, March.
- Toni Gravelle & Maral Kichian & James Morley, 2002. "Detecting shift-contagion in currency and bond markets," Computing in Economics and Finance 2002 58, Society for Computational Economics.
- Hashimoto Yuko & Takatoshi Ito, 2005. "High-frequency Contagion between the Exchange Rates and Stock Prices during the Asian Currency Crisis," CARF J-Series CARF-J-009, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
- Caporale, Guglielmo Maria & Cipollini, Andrea & Spagnolo, Nicola, 2005.
"Testing for contagion: a conditional correlation analysis,"
Journal of Empirical Finance, Elsevier, vol. 12(3), pages 476-489, June.
- gulielmo maria caporale & rea cipollini & nicola spagnolo, 2004. "Testing For Contagion: A Conditional Correlation Analysis," International Finance 0406003, University Library of Munich, Germany.
- Mardi Dungey & Renée Fry & Vance L. Martin, 2004. "Currency Market Contagion In The Asia‐Pacific Region," Australian Economic Papers, Wiley Blackwell, vol. 43(4), pages 379-395, December.
- Kristin J. Forbes & Roberto Rigobon, 2002.
"No Contagion, Only Interdependence: Measuring Stock Market Comovements,"
Journal of Finance, American Finance Association, vol. 57(5), pages 2223-2261, October.
- Kristin Forbes & Roberto Rigobon, 1999. "No Contagion, Only Interdependence: Measuring Stock Market Co-movements," NBER Working Papers 7267, National Bureau of Economic Research, Inc.
- Roberto Rigobon, 2003. "Identification Through Heteroskedasticity," The Review of Economics and Statistics, MIT Press, vol. 85(4), pages 777-792, November.
- Billio, Monica & Pelizzon, Loriana, 2003. "Contagion and interdependence in stock markets: Have they been misdiagnosed?," Journal of Economics and Business, Elsevier, vol. 55(5-6), pages 405-426.
- Vance L. Martin & Mardi Dungey, 2007. "Unravelling financial market linkages during crises," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 22(1), pages 89-119.
- Pan, Ming-Shiun & Fok, Robert Chi-Wing & Liu, Y. Angela, 2007. "Dynamic linkages between exchange rates and stock prices: Evidence from East Asian markets," International Review of Economics & Finance, Elsevier, vol. 16(4), pages 503-520.
- Dungey, Mardi & Tambakis, Demosthenes N. (ed.), 2005. "Identifying International Financial Contagion: Progress and Challenges," OUP Catalogue, Oxford University Press, number 9780195187182.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Tian, Maoxi & El Khoury, Rim & Alshater, Muneer M., 2023. "The nonlinear and negative tail dependence and risk spillovers between foreign exchange and stock markets in emerging economies," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 82(C).
- Wajih Khallouli & Rene Sandretto, 2011. "Testing for “Contagion” of the Subprime Crisis on the Middle East And North African Stock Markets: A Markov Switching EGARCH Approach," Working Papers 609, Economic Research Forum, revised 08 Jan 2011.
- Walid, Chkili & Chaker, Aloui & Masood, Omar & Fry, John, 2011. "Stock market volatility and exchange rates in emerging countries: A Markov-state switching approach," Emerging Markets Review, Elsevier, vol. 12(3), pages 272-292, September.
- Pami Dua & Divya Tuteja, 2021. "Regime Shifts in the Behaviour of International Currency and Equity Markets: A Markov-Switching Analysis," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 19(1), pages 309-336, December.
- Kal, Süleyman Hilmi & Arslaner, Ferhat & Arslaner, Nuran, 2015.
"The dynamic relationship between stock, bond and foreign exchange markets,"
Economic Systems, Elsevier, vol. 39(4), pages 592-607.
- Suleyman Hilmi Kal & Ferhat Arslaner & Nuran Arslaner, 2015. "The Dynamic Relationship Between Stock, Bond and Foreign Exchange Markets," Working Papers 1512, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
- Cui, Jinxin & Maghyereh, Aktham, 2023. "Time-frequency dependence and connectedness among global oil markets: Fresh evidence from higher-order moment perspective," Journal of Commodity Markets, Elsevier, vol. 30(C).
- Giovanna Bua & Carmine Trecroci, 2019.
"International equity markets interdependence: bigger shocks or contagion in the 21st century?,"
Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 155(1), pages 43-69, February.
- Bua, Giovanna & Trecroci, Carmine, 2016. "International Equity Markets Interdependence: Bigger Shocks or Contagion in the 21st Century?," MPRA Paper 74771, University Library of Munich, Germany.
- Doruk Kucuksarac & Pinar Ozlu & Deren Unalmis, 2012. "Kuresel Kriz, Avrupa Borc Krizi ve Gelismekte Olan Piyasalarda Bulasicilik Etkisi," CBT Research Notes in Economics 1204, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
- Khallouli, Wajih & Sandretto, René, 2012.
"Testing for “Contagion” of the Subprime Crisis on the Middle East and North African Stock Markets: A Markov Switching EGARCH Approach,"
Journal of Economic Integration, Center for Economic Integration, Sejong University, vol. 27, pages 134-166.
- Wajih Khallouli & René Sandretto, 2010. "Testing for "contagion" of the subprime crisis on the Middle East and North African stock markets: A Markov Switching EGARCH approach," Post-Print halshs-00589830, HAL.
- Wajih Khallouli & René Sandretto, 2012. "Testing for “contagion” of the subprime crisis on the Middle East and North African stock markets : A Markov Switching EGARCH approach," Post-Print halshs-00522683, HAL.
- Wajih Khallouli & Modibo René Sandretto, 2010. "Testing for “contagion” of the subprime crisis on the Middle East and North African stock markets : A Markov Switching EGARCH approach," Working Papers 1022, Groupe d'Analyse et de Théorie Economique Lyon St-Étienne (GATE Lyon St-Étienne), Université de Lyon.
- Pami Dua & Divya Tuteja, 2016. "Contagion in International Stock and Currency Markets During Recent Crisis Episodes," Working papers 258, Centre for Development Economics, Delhi School of Economics.
- Flavin, Thomas J. & Morley, Ciara E. & Panopoulou, Ekaterini, 2014.
"Identifying safe haven assets for equity investors through an analysis of the stability of shock transmission,"
Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 33(C), pages 137-154.
- Thomas J. Flavin & Ciara E. Morley & Ekaterini Panopoulou, 2014. "Identifying safe haven assets for equity investors through an analysis of the stability of shock transmission," Economics Department Working Paper Series n249-14.pdf, Department of Economics, National University of Ireland - Maynooth.
- Aliyu, Shehu Usman Rano & Aminu, Abubakar Wambai, 2018. "Economic regimes and stock market performance in Nigeria: Evidence from regime switching model," MPRA Paper 91430, University Library of Munich, Germany, revised 03 Oct 2018.
- Sensoy, Ahmet & Tabak, Benjamin M., 2014.
"Dynamic spanning trees in stock market networks: The case of Asia-Pacific,"
Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 414(C), pages 387-402.
- Ahmet Sensoy & Benjamin M. Tabak, 2014. "Dynamic spanning trees in stock market networks: The case of Asia-Pacific," Working Papers Series 351, Central Bank of Brazil, Research Department.
- Ahmad Sarlak & Zahra Talei, 2016. "Impact of High-Frequency Trading on the Stock Returns of Large and Small Companies in the Tehran Stock Exchange," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 8(4), pages 216-228, April.
- Dua, Pami & Tuteja, Divya, 2016. "Financial crises and dynamic linkages across international stock and currency markets," Economic Modelling, Elsevier, vol. 59(C), pages 249-261.
- Haishu Qiao & Yue Xia & Ying Li, 2016. "Can Network Linkage Effects Determine Return? Evidence from Chinese Stock Market," PLOS ONE, Public Library of Science, vol. 11(6), pages 1-25, June.
- Kara, Alper & Hacihasanoglu, Yavuz Selim & Unalmis, Deren, 2021. "Financial contagion and the role of firm characteristics," Finance Research Letters, Elsevier, vol. 38(C).
- Yildirim, Ramazan & Masih, Mansur, 2018. "Investigating International Portfolio Diversification Opportunities for the Asian Islamic Stock Market Investors," MPRA Paper 90281, University Library of Munich, Germany.
- Aliyu, Shehu Usman Rano, 2020. "What have we learnt from modelling stock returns in Nigeria: Higgledy-piggledy?," MPRA Paper 110382, University Library of Munich, Germany, revised 06 Jun 2021.
- Doruk Kucuksarac & Pinar Ozlu & Deren Unalmis, 2012. "Kuresel Kriz, Avrupa Borc Krizi ve Gelismekte Olan Piyasalarda Bulasicilik Etkisi (Global Crisis, European Debt Crisis and Contagion in Emerging Markets)," Central Bank Review, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, vol. 12(2), pages 25-35.
- Yildirim, Ramazan & Masih, A. Mansur M., 2014. "The Effect of Recent Financial Crisis over Global Portfolio Diversification Opportunities – Empirical Evidence A Comparative Multivariate GARCH-DCC, MODWT and Wavelet Correlation Analysis," MPRA Paper 58269, University Library of Munich, Germany.
- Kyriakos C. Neanidis & Christos S. Savva, 2015. "Is Loan Dollarization Contagious across Countries? Evidence from Transition Economies," Centre for Growth and Business Cycle Research Discussion Paper Series 200, Economics, The University of Manchester.
- Zobia Israr Ahmed & Khalid Mustafa, 2019. "Regime-Dependent Effects on Stock Market Return Dynamics: Evidence from SAARC Countries," Asian Development Policy Review, Asian Economic and Social Society, vol. 7(2), pages 111-132, June.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Thomas J. Flavin & Ekaterini Panopoulou, 2010.
"Detecting Shift And Pure Contagion In East Asian Equity Markets: A Unified Approach,"
Pacific Economic Review, Wiley Blackwell, vol. 15(3), pages 401-421, August.
- Thomas J. Flavin and Ekaterini Panopoulou, 2007. "Detecting Shift and Pure Contagion in East Asian Equity Markets: A Unified Approach," The Institute for International Integration Studies Discussion Paper Series iiisdp236, IIIS.
- Thomas J. flavin & Ekaterini Panopoulou, 2008. "Detecting shift and pure contagion in East Asian equity markets: A Unified Approach," Economics Department Working Paper Series n1890208.pdf, Department of Economics, National University of Ireland - Maynooth.
- Gonzalez-Hermosillo Gonzalez, B.M., 2008. "Transmission of shocks across global financial markets : The role of contagion and investors' risk appetite," Other publications TiSEM d684f3c7-7ad8-4e93-88cf-a, Tilburg University, School of Economics and Management.
- Thomas Flavin & Ekaterini Panopoulou, 2006. "Shift versus traditional contagion in Asian markets," The Institute for International Integration Studies Discussion Paper Series iiisdp176, IIIS.
- Pami Dua & Divya Tuteja, 2016. "Contagion in International Stock and Currency Markets During Recent Crisis Episodes," Working papers 258, Centre for Development Economics, Delhi School of Economics.
- Giovanna Bua & Carmine Trecroci, 2019.
"International equity markets interdependence: bigger shocks or contagion in the 21st century?,"
Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 155(1), pages 43-69, February.
- Bua, Giovanna & Trecroci, Carmine, 2016. "International Equity Markets Interdependence: Bigger Shocks or Contagion in the 21st Century?," MPRA Paper 74771, University Library of Munich, Germany.
- Takashi Miyazaki & Shigeyuki Hamori, 2018.
"The Determinants Of A Simultaneous Crash In Gold And Stock Markets: An Ordered Logit Approach,"
Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 13(01), pages 1-25, March.
- Takashi Miyazaki & Shigeyuki Hamori, 2016. "The determinants of a simultaneous crash in gold and stock markets: An ordered logit approach," Discussion Papers 1603, Graduate School of Economics, Kobe University.
- Mardi Dungey & Rene Fry & Vance L. Martin, 2006. "Correlation, Contagion, and Asian Evidence," Asian Economic Papers, MIT Press, vol. 5(2), pages 32-72, Spring/Su.
- Kohonen, Anssi, 2014.
"Transmission of government default risk in the eurozone,"
Journal of International Money and Finance, Elsevier, vol. 47(C), pages 71-85.
- Kohonen, Anssi, 2012. "Transmission of Government Default Risk in the Eurozone," MPRA Paper 43823, University Library of Munich, Germany.
- Mardi Dungey & George Milunovich & Susan Thorp, 2008. "Unobservable Shocks as Carriers of Contagion: A Dynamic Analysis Using Identified Structural GARCH," NCER Working Paper Series 22, National Centre for Econometric Research.
- de Bandt,O. & Malik, S., 2010. "Is there Evidence of Shift-Contagion in International Housing Markets?," Working papers 295, Banque de France.
- Mardi Dungey & Renee Fry & Brenda Gonzalez-Hermosillo & Vance Martin, 2005.
"Empirical modelling of contagion: a review of methodologies,"
Quantitative Finance, Taylor & Francis Journals, vol. 5(1), pages 9-24.
- Mr. Mardi Dungey & Ms. Renee Fry & Mr. Vance Martin & Ms. Brenda Gonzalez-Hermosillo, 2004. "Empirical Modeling of Contagion: A Review of Methodologies," IMF Working Papers 2004/078, International Monetary Fund.
- Martin, V. & Dungey & M., 2004. "Empirical Modelling of Contagion: A Review of Methodologies," Econometric Society 2004 Far Eastern Meetings 574, Econometric Society.
- Vance L. Martin & Brenda Gonzalez-Hermosillo, & Mardi Dungey & Renee A. Fry, 2004. "Empirical Modelling of Contagion: A Review of Methodologies," Econometric Society 2004 Australasian Meetings 243, Econometric Society.
- Massacci, D., 2007. "Identification and Estimation in an Incoherent Model of Contagion," Cambridge Working Papers in Economics 0744, Faculty of Economics, University of Cambridge.
- Mardi Dungey & Eric Renault, 2018. "Identifying contagion," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 33(2), pages 227-250, March.
- Metiu, N., 2011. "Financial contagion in developed sovereign bond markets," Research Memorandum 004, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
- Dua, Pami & Tuteja, Divya, 2016. "Financial crises and dynamic linkages across international stock and currency markets," Economic Modelling, Elsevier, vol. 59(C), pages 249-261.
- Renée Fry-McKibbin & Cody Hsiao & Chrismin Tang, 2014. "Contagion and Global Financial Crises: Lessons from Nine Crisis Episodes," Open Economies Review, Springer, vol. 25(3), pages 521-570, July.
- Rajan Sruthi & Santhakumar Shijin, 2020. "Investigating liquidity constraints as a channel of contagion: a regime switching approach," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 6(1), pages 1-21, December.
- Lukasz Prorokowski, 2013. "Lessons from financial crisis contagion simulation in Europe," Studies in Economics and Finance, Emerald Group Publishing Limited, vol. 30(2), pages 159-188, May.
- Dungey, Mardi & Milunovich, George & Thorp, Susan & Yang, Minxian, 2015.
"Endogenous crisis dating and contagion using smooth transition structural GARCH,"
Journal of Banking & Finance, Elsevier, vol. 58(C), pages 71-79.
- Mardi Dungey & George Milunovich & Susan Thorp & Minxian Yang, 2012. "Endogenous Crisis Dating and Contagion Using Smooth Transition Structural GARCH," Research Paper Series 312, Quantitative Finance Research Centre, University of Technology, Sydney.
- Dungey, Mardi & Milunovich, George & Thorp, Susan & Yang, Minxian, 2012. "Endogenous crisis dating and contagion using smooth transition structural GARCH," Working Papers 15030, University of Tasmania, Tasmanian School of Business and Economics, revised 29 Aug 2012.
- Mandilaras, Alex & Bird, Graham, 2010. "A Markov switching analysis of contagion in the EMS," Journal of International Money and Finance, Elsevier, vol. 29(6), pages 1062-1075, October.
More about this item
Keywords
Shift contagion; Pure contagion; Financial market crises; Regime switching;All these keywords.
JEL classification:
- F42 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - International Policy Coordination and Transmission
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
NEP fields
This paper has been announced in the following NEP Reports:- NEP-CFN-2009-01-17 (Corporate Finance)
- NEP-OPM-2009-01-17 (Open Economy Macroeconomics)
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:may:mayecw:n1981108.pdf. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: the person in charge (email available below). General contact details of provider: https://edirc.repec.org/data/demayie.html .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.