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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"A Primer on Financial Contagion,"
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Working Papers on International Economics and Finance
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Econometric Society 2004 Australasian Meetings
243, Econometric Society.
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- Mardi Dungey & Renee Fry & Vance Martin & Brenda Gonzalez-Hermosillo, 2004. "Empirical Modeling of Contagion; A Review of Methodologies," IMF Working Papers 04/78, International Monetary Fund.
- 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.
- 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.
- 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.
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- 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.
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"The Role of the Banking System in the International Transmission of Shocks,"
Temi di discussione (Economic working papers)
409, Bank of Italy, Economic Research and International Relations Area.
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"Detecting shift-contagion in currency and bond markets,"
Computing in Economics and Finance 2002
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- Cifarelli, Giulio & Paladino, Giovanna, 2004. "The impact of the Argentine default on volatility co-movements in emerging bond markets," Emerging Markets Review, Elsevier, vol. 5(4), pages 427-446, December.
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"Testing For Contagion: A Conditional Correlation Analysis,"
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- Apostolos Thomadakis, 2012. "Measuring Financial Contagion with Extreme Coexceedances," School of Economics Discussion Papers 1112, School of Economics, University of Surrey.
- 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.
- Corsetti, Giancarlo & Pericoli, Marcello & Sbracia, Massimo, 2005. "'Some contagion, some interdependence': More pitfalls in tests of financial contagion," Journal of International Money and Finance, Elsevier, vol. 24(8), pages 1177-1199, December.
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