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Markets contagion during financial crisis: A regime-switching approach

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Cited by:

  1. Flavin, Thomas J. & Sheenan, Lisa, 2015. "The role of U.S. subprime mortgage-backed assets in propagating the crisis: Contagion or interdependence?," The North American Journal of Economics and Finance, Elsevier, vol. 34(C), pages 167-186.
  2. Mahadeo, Scott M.R. & Heinlein, Reinhold & Legrenzi, Gabriella D., 2019. "Energy contagion analysis: A new perspective with application to a small petroleum economy," Energy Economics, Elsevier, vol. 80(C), pages 890-903.
  3. Dimitriou, Dimitrios & Kenourgios, Dimitris, 2013. "Financial crises and dynamic linkages among international currencies," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 26(C), pages 319-332.
  4. Kim Hiang Liow & Qing Ye, 2018. "Regime dependent volatilities and correlation in international securitized real estate markets," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 45(3), pages 457-487, August.
  5. Balcilar, Mehmet & Hammoudeh, Shawkat & Toparli, Elif Akay, 2018. "On the risk spillover across the oil market, stock market, and the oil related CDS sectors: A volatility impulse response approach," Energy Economics, Elsevier, vol. 74(C), pages 813-827.
  6. Roy, Saktinil & Kemme, David M., 2012. "Causes of banking crises: Deregulation, credit booms and asset bubbles, then and now," International Review of Economics & Finance, Elsevier, vol. 24(C), pages 270-294.
  7. Srivastava, Sasha & Lin, Hai & Premachandra, Inguruwatte M. & Roberts, Helen, 2016. "Global risk spillover and the predictability of sovereign CDS spread: International evidence," International Review of Economics & Finance, Elsevier, vol. 41(C), pages 371-390.
  8. Ahmed El Ghini & Youssef Saidi, 2015. "Financial market contagion during the global financial crisis: evidence from the Moroccan stock market," International Journal of Financial Markets and Derivatives, Inderscience Enterprises Ltd, vol. 4(1), pages 78-95.
  9. Lucey, Brian M. & Vigne, Samuel A. & Ballester, Laura & Barbopoulos, Leonidas & Brzeszczynski, Janusz & Carchano, Oscar & Dimic, Nebojsa & Fernandez, Viviana & Gogolin, Fabian & González-Urteaga, Ana , 2018. "Future directions in international financial integration research - A crowdsourced perspective," International Review of Financial Analysis, Elsevier, vol. 55(C), pages 35-49.
  10. 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.
  11. Salisu, Afees A. & Ndako, Umar B., 2018. "Modelling stock price–exchange rate nexus in OECD countries: A new perspective," Economic Modelling, Elsevier, vol. 74(C), pages 105-123.
  12. Lambrecht, Marco & Sofianos, Andis & Xu, Yilong, 2021. "Does mining fuel bubbles? An experimental study on cryptocurrency markets," Working Papers 0703, University of Heidelberg, Department of Economics.
  13. Lucian Liviu ALBU & Radu LUPU & Adrian Cantemir CALIN, 2017. "Risk Generating Industries for European Stock Markets," ECONOMIC COMPUTATION AND ECONOMIC CYBERNETICS STUDIES AND RESEARCH, Faculty of Economic Cybernetics, Statistics and Informatics, vol. 51(4), pages 5-17.
  14. Nafeesa Yunus, 2019. "Dynamic Linkages Among U.S. Real Estate Sectors Before and After the Housing Crisis," The Journal of Real Estate Finance and Economics, Springer, vol. 58(2), pages 264-289, February.
  15. Shalini, Velappan & Prasanna, Krishna, 2016. "Impact of the financial crisis on Indian commodity markets: Structural breaks and volatility dynamics," Energy Economics, Elsevier, vol. 53(C), pages 40-57.
  16. Urom, Christian & Onwuka, Kevin O. & Uma, Kalu E. & Yuni, Denis N., 2020. "Regime dependent effects and cyclical volatility spillover between crude oil price movements and stock returns," International Economics, Elsevier, vol. 161(C), pages 10-29.
  17. Guidolin, Massimo & Pedio, Manuela, 2017. "Identifying and measuring the contagion channels at work in the European financial crises," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 48(C), pages 117-134.
  18. Nafeesa Yunus, 2016. "Modelling interactions among the housing market and key US sectors," Journal of Property Research, Taylor & Francis Journals, vol. 33(2), pages 121-146, April.
  19. Eross, Andrea & Urquhart, Andrew & Wolfe, Simon, 2016. "Liquidity risk contagion in the interbank market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 45(C), pages 142-155.
  20. Ji, Qiang & Liu, Bing-Yue & Cunado, Juncal & Gupta, Rangan, 2020. "Risk spillover between the US and the remaining G7 stock markets using time-varying copulas with Markov switching: Evidence from over a century of data," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
  21. 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 2013-15, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  22. Shahzad, Syed Jawad Hussain & Nor, Safwan Mohd & Ferrer, Roman & Hammoudeh, Shawkat, 2017. "Asymmetric determinants of CDS spreads: U.S. industry-level evidence through the NARDL approach," Economic Modelling, Elsevier, vol. 60(C), pages 211-230.
  23. Huang, MeiChi, 2018. "Time-varying diversification strategies: The roles of state-level housing assets in optimal portfolios," International Review of Economics & Finance, Elsevier, vol. 55(C), pages 145-172.
  24. Avino, Davide & Nneji, Ogonna, 2014. "Are CDS spreads predictable? An analysis of linear and non-linear forecasting models," International Review of Financial Analysis, Elsevier, vol. 34(C), pages 262-274.
  25. Kauko, Karlo, 2014. "How to foresee banking crises? A survey of the empirical literature," Economic Systems, Elsevier, vol. 38(3), pages 289-308.
  26. 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.
  27. Alemany, Aida & Ballester, Laura & González-Urteaga, Ana, 2015. "Volatility spillovers in the European bank CDS market," Finance Research Letters, Elsevier, vol. 13(C), pages 137-147.
  28. Mayordomo, Sergio & Rodriguez-Moreno, Maria & Peña, Juan Ignacio, 2014. "Liquidity commonalities in the corporate CDS market around the 2007–2012 financial crisis," International Review of Economics & Finance, Elsevier, vol. 31(C), pages 171-192.
  29. Seuk Wai & Mohd Tahir Ismail & Siok Kun Sek, 2013. "A Study of Intercept Adjusted Markov Switching Vector Autoregressive Model in Economic Time Series Data," Information Management and Business Review, AMH International, vol. 5(8), pages 379-384.
  30. James Refalo & Hsing Fang & Jong Yi & Golak C. Nath, 2012. "Investor perceptions and equity-sovereign bond return correlation: revisiting the Mexican Peso Crisis," Macroeconomics and Finance in Emerging Market Economies, Taylor & Francis Journals, vol. 5(1), pages 78-93, September.
  31. Shahzad, Syed Jawad Hussain & Hernandez, Jose Areola & Rehman, Mobeen Ur & Al-Yahyaee, Khamis Hamed & Zakaria, Muhammad, 2018. "A global network topology of stock markets: Transmitters and receivers of spillover effects," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 492(C), pages 2136-2153.
  32. Ye, Wuyi & Zhu, Yangguang & Wu, Yuehua & Miao, Baiqi, 2016. "Markov regime-switching quantile regression models and financial contagion detection," Insurance: Mathematics and Economics, Elsevier, vol. 67(C), pages 21-26.
  33. Andre Yone Haughton & Emma M. Iglesias, 2017. "Exchange Rate Movements, Stock Prices and Volatility in the Caribbean and Latin America," International Journal of Economics and Financial Issues, Econjournals, vol. 7(2), pages 437-447.
  34. Ming-Chu Chiang & I-Chun Tsai, 2016. "Ripple effect and contagious effect in the US regional housing markets," The Annals of Regional Science, Springer;Western Regional Science Association, vol. 56(1), pages 55-82, January.
  35. Lambrecht, Marco & Sofianos, Andis & Xu, Yilong, 2020. "Does mining fuel bubbles? An experimental study on cryptocurrency markets," Working Papers 0690, University of Heidelberg, Department of Economics.
  36. Dimitriou, Dimitrios & Kenourgios, Dimitris & Simos, Theodore, 2020. "Are there any other safe haven assets? Evidence for “exotic” and alternative assets," International Review of Economics & Finance, Elsevier, vol. 69(C), pages 614-628.
  37. MeiChi Huang, 2020. "A threshold unobserved components model of housing bubbles: timings and effectiveness of monetary policies," Empirical Economics, Springer, vol. 59(2), pages 887-908, August.
  38. Ming-Chu Chiang & I-Chun Tsai, 2016. "Ripple effect and contagious effect in the US regional housing markets," The Annals of Regional Science, Springer;Western Regional Science Association, vol. 56(1), pages 55-82, January.
  39. Reddy, Kotapati Srinivasa, 2015. "The impact of the global financial crisis on border-crossing mergers and acquisitions: A continental/industry analysis," MPRA Paper 63563, University Library of Munich, Germany, revised 2015.
  40. Guidolin, Massimo & Hansen, Erwin & Pedio, Manuela, 2019. "Cross-asset contagion in the financial crisis: A Bayesian time-varying parameter approach," Journal of Financial Markets, Elsevier, vol. 45(C), pages 83-114.
  41. Saiti, Buerhan & Bacha, Obiyathulla & Masih, Mansur, 2014. "Is the global leadership of the US financial market over other financial markets shaken by 2007-2009 financial crisis? Evidence from Wavelet Analysis," MPRA Paper 57064, University Library of Munich, Germany.
  42. Georgios Galyfianakis & Evagelos Drimbetas & Nikolaos Sariannidis, 2016. "Modeling Energy Prices with a Markov-Switching dynamic regression model: 2005-2015," Bulletin of Applied Economics, Risk Market Journals, vol. 3(1), pages 11-28.
  43. Zhiqiang HU & Yizhu WANG, 2013. "The IPO Cycles in China's A-share IPO Market: Detection Based on a Three Regimes Markov Switching Model," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(3), pages 115-131, October.
  44. Riadh El Abed, 2017. "On the Co-movements among East Asian Foreign Exchange Markets: A Multivariate FIAPARCH-DCC approach," Economics Bulletin, AccessEcon, vol. 37(3), pages 2247-2259.
  45. Lin, Chien-Hsiu, 2012. "The comovement between exchange rates and stock prices in the Asian emerging markets," International Review of Economics & Finance, Elsevier, vol. 22(1), pages 161-172.
  46. Lisa Sheenan, 2017. "Analyzing Contagion from the U.S. Subprime Mortgage-Backed Securities Market," Eurasian Journal of Economics and Finance, Eurasian Publications, vol. 5(4), pages 85-123.
  47. Chang, Guang-Di & Cheng, Po-Ching, 2016. "Evidence of cross-asset contagion in U.S. markets," Economic Modelling, Elsevier, vol. 58(C), pages 219-226.
  48. Pontines, Victor & Siregar, Reza Y., 2014. "How should we bank with foreigners? An empirical assessment of lending behavior of international banks to six East Asian economies," International Review of Economics & Finance, Elsevier, vol. 29(C), pages 552-568.
  49. Bellelah, M.A. & Bellelah, M.O. & Ben Ameur, H. & Ben Hafsia, R., 2017. "Does the equity premium puzzle persist during financial crisis? The case of the French equity market," Research in International Business and Finance, Elsevier, vol. 39(PB), pages 851-866.
  50. Guo, Xiaochun & Lu, Fengbin & Wei, Yunjie, 2021. "Capture the contagion network of bitcoin – Evidence from pre and mid COVID-19," Research in International Business and Finance, Elsevier, vol. 58(C).
  51. Hassan, Kamrul & Hoque, Ariful & Gasbarro, Dominic & Wong, Wing-Keung, 2023. "Are Islamic stocks immune from financial crises? Evidence from contagion tests," International Review of Economics & Finance, Elsevier, vol. 86(C), pages 919-948.
  52. Jiang, Yong & Wang, Gang-Jin & Ma, Chaoqun & Yang, Xiaoguang, 2021. "Do credit conditions matter for the impact of oil price shocks on stock returns? Evidence from a structural threshold VAR model," International Review of Economics & Finance, Elsevier, vol. 72(C), pages 1-15.
  53. Shelly Singhal & Pratap Chandra Biswal, 2021. "Dynamic Commodity Portfolio Management: A Regime-switching VAR Model," Global Business Review, International Management Institute, vol. 22(2), pages 532-549, April.
  54. Samarakoon, Lalith P., 2011. "Stock market interdependence, contagion, and the U.S. financial crisis: The case of emerging and frontier markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 21(5), pages 724-742.
  55. Kangogo, Moses & Volkov, Vladimir, 2022. "Detecting signed spillovers in global financial markets: A Markov-switching approach," International Review of Financial Analysis, Elsevier, vol. 82(C).
  56. Ana Escribano & Cristina Íñiguez, 2021. "The contagion phenomena of the Brexit process on main stock markets," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(3), pages 4462-4481, July.
  57. Narendar Rao & K. Reddy, 2015. "The impact of the global financial crisis on cross-border mergers and acquisitions: a continental and industry analysis," Eurasian Business Review, Springer;Eurasia Business and Economics Society, vol. 5(2), pages 309-341, December.
  58. Al Rahahleh, Naseem & Bhatti, M. Ishaq, 2017. "Co-movement measure of information transmission on international equity markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 470(C), pages 119-131.
  59. Pavel Gertler & Roman Horváth & Júlia Jonášová, 2020. "Central Bank Communication and Financial Market Comovements in the Euro Area," Open Economies Review, Springer, vol. 31(2), pages 257-272, April.
  60. Wan, Jer-Yuh & Kao, Chung-Wei, 2015. "Interactions between oil and financial markets — Do conditions of financial stress matter?," Energy Economics, Elsevier, vol. 52(PA), pages 160-175.
  61. Sabkha, Saker & de Peretti, Christian & Hmaied, Dorra, 2019. "Nonlinearities in the oil effects on the sovereign credit risk: A self-exciting threshold autoregression approach," Research in International Business and Finance, Elsevier, vol. 50(C), pages 106-133.
  62. Lupu, Dan & Asandului, Mircea, 2014. "Considerations on the relantionship between exchange rates and stock markets in Eastern Europe in time of crisis," MPRA Paper 95507, University Library of Munich, Germany.
  63. 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.
  64. Yang, Jen-Wei & Tsai, Shu-Yu & Shyu, So-De & Chang, Chia-Chien, 2016. "Pairs trading: The performance of a stochastic spread model with regime switching-evidence from the S&P 500," International Review of Economics & Finance, Elsevier, vol. 43(C), pages 139-150.
  65. Luo, Changqing & Liu, Lan & Wang, Da, 2021. "Multiscale financial risk contagion between international stock markets: Evidence from EMD-Copula-CoVaR analysis," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
  66. Chan Joshua C.C. & Fry-McKibbin Renée A. & Hsiao Cody Yu-Ling, 2019. "A regime switching skew-normal model of contagion," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 23(1), pages 1-24, February.
  67. Elie Bouri & Rangan Gupta & Shixuan Wang, 2019. "Contagion between Stock and Real Estate Markets: International Evidence from a Local Gaussian Correlation Approach," Working Papers 201917, University of Pretoria, Department of Economics.
  68. Goodness C. Aye & Christina Christou & Rangan Gupta & Christis Hassapis, 2021. "High-Frequency Contagion between Aggregate and Regional Housing Markets of the United States with Financial Assets: Evidence from Multichannel Tests," Working Papers 202159, University of Pretoria, Department of Economics.
  69. Ozer-Imer, Itir & Ozkan, Ibrahim, 2014. "An empirical analysis of currency volatilities during the recent global financial crisis," Economic Modelling, Elsevier, vol. 43(C), pages 394-406.
  70. Imen Bedoui-Belghith & Slaheddine Hallara & Faouzi Jilani, 2023. "Crisis transmission degree measurement under crisis propagation model," SN Business & Economics, Springer, vol. 3(1), pages 1-27, January.
  71. Chang, Guang-Di & Chen, Chia-Shih, 2014. "Evidence of contagion in global REITs investment," International Review of Economics & Finance, Elsevier, vol. 31(C), pages 148-158.
  72. Miklesh Prasad Yadav & Sudhi Sharma & Indira Bhardwaj, 2023. "Volatility Spillover Between Chinese Stock Market and Selected Emerging Economies: A Dynamic Conditional Correlation and Portfolio Optimization Perspective," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 30(2), pages 427-444, June.
  73. Changqing, Luo & Chi, Xie & Cong, Yu & Yan, Xu, 2015. "Measuring financial market risk contagion using dynamic MRS-Copula models: The case of Chinese and other international stock markets," Economic Modelling, Elsevier, vol. 51(C), pages 657-671.
  74. Figlewski, Stephen & Frydman, Halina & Liang, Weijian, 2012. "Modeling the effect of macroeconomic factors on corporate default and credit rating transitions," International Review of Economics & Finance, Elsevier, vol. 21(1), pages 87-105.
  75. Hao, Jing & He, Feng, 2018. "Univariate dependence among sectors in Chinese stock market and systemic risk implication," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 510(C), pages 355-364.
  76. Dimitris Kenourgios & Dimitrios Dimitriou & Apostolos Christopoulos, 2013. "Asset Markets Contagion During the Global Financial Crisis," Multinational Finance Journal, Multinational Finance Journal, vol. 17(1-2), pages 49-76, March - J.
  77. Heni Boubaker & Nadia Sghaier, 2015. "On the Dynamic Dependence between US and other Developed Stock Markets: An Extreme-value Time-varying Copula Approach," Bankers, Markets & Investors, ESKA Publishing, issue 136-137, pages 80-93, May-June.
  78. Takashi Miyazaki, 2019. "Clarifying the Response of Gold Return to Financial Indicators: An Empirical Comparative Analysis Using Ordinary Least Squares, Robust and Quantile Regressions," JRFM, MDPI, vol. 12(1), pages 1-18, February.
  79. Szymon Okoń, 2012. "New Approach to Remuneration Policy for Investment Firms: a Polish Capital Market Perspective," Contemporary Economics, University of Economics and Human Sciences in Warsaw., vol. 6(1), March.
  80. Chang, Meng-Shiuh & Kung, Chih-Chun & Chen, Meng-Wei & Tian, Yuan, 2021. "Volatility regime, inverted asymmetry, contagion, and flights in the gold market," Pacific-Basin Finance Journal, Elsevier, vol. 67(C).
  81. El-Masry, Ahmed A. & de Mingo-López, Diego Víctor & Matallín-Sáez, Juan Carlos & Tortosa-Ausina, Emili, 2016. "Environmental conditions, fund characteristics, and Islamic orientation: An analysis of mutual fund performance for the MENA region," Journal of Economic Behavior & Organization, Elsevier, vol. 132(S), pages 174-197.
  82. Jiang, Hai & Tang, Shenfeng & Li, Lifang & Xu, Fangming & Di, Qian, 2022. "Re-examining the Contagion Channels of Global Financial Crises: Evidence from the Twelve Years since the US Subprime Crisis," Research in International Business and Finance, Elsevier, vol. 60(C).
  83. Susanna Saroyan & Lilit Popoyan, 2017. "Bank-sovereign ties against interbank market integration: the case of the Italian segment," LEM Papers Series 2017/02, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
  84. 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.
  85. Heni Boubaker & Nadia Sghaier, 2014. "On the dynamic dependence between US and other developed stock markets: An extreme-value time-varying copula approach," Working Papers 2014-281, Department of Research, Ipag Business School.
  86. Marcet, Francisco, 2017. "Analyst coverage network and stock return comovement in emerging markets," Emerging Markets Review, Elsevier, vol. 32(C), pages 1-27.
  87. Aristeidis, Samitas & Elias, Kampouris, 2018. "Empirical analysis of market reactions to the UK’s referendum results – How strong will Brexit be?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 53(C), pages 263-286.
  88. Shi, Yanlin & Ho, Kin-Yip & Liu, Wai-Man, 2016. "Public information arrival and stock return volatility: Evidence from news sentiment and Markov Regime-Switching Approach," International Review of Economics & Finance, Elsevier, vol. 42(C), pages 291-312.
  89. Shahzad, Syed Jawad Hussain & Mensi, Walid & Hammoudeh, Shawkat & Balcilar, Mehmet & Shahbaz, Muhammad, 2018. "Distribution specific dependence and causality between industry-level U.S. credit and stock markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 52(C), pages 114-133.
  90. Gębka, Bartosz & Serwa, Dobromił, 2015. "The elusive nature of motives to trade: Evidence from international stock markets," International Review of Financial Analysis, Elsevier, vol. 39(C), pages 147-157.
  91. Elie Bouri & Rangan Gupta & Shixuan Wang, 2022. "Nonlinear contagion between stock and real estate markets: International evidence from a local Gaussian correlation approach," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(2), pages 2089-2109, April.
  92. Kamila Tomczak, 2023. "Transmission of the 2007–2008 financial crisis in advanced countries of the European Union," Bulletin of Economic Research, Wiley Blackwell, vol. 75(1), pages 40-64, January.
  93. Naifar, Nader & Al Dohaiman, Mohammed Saleh, 2013. "Nonlinear analysis among crude oil prices, stock markets' return and macroeconomic variables," International Review of Economics & Finance, Elsevier, vol. 27(C), pages 416-431.
  94. Dimitris Kenourgios & Dimitrios Dimitriou, 2014. "Contagion Effects of the Global Financial Crisis in US and European Real Economy Sectors," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, vol. 61(3), pages 275-288, June.
  95. Do, Hung Xuan & Brooks, Robert & Treepongkaruna, Sirimon, 2015. "Realized spill-over effects between stock and foreign exchange market: Evidence from regional analysis," Global Finance Journal, Elsevier, vol. 28(C), pages 24-37.
  96. Ginanjar Dewandaru & Rumi Masih & Mansur Masih, 2018. "Unraveling the Financial Contagion in European Stock Markets During Financial Crises: Multi-Timescale Analysis," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 54(4), pages 859-880, March.
  97. Yunus, Nafeesa, 2015. "Trends and convergence in global housing markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 36(C), pages 100-112.
  98. Hassan, M. Kabir & Alshater, Muneer M. & Atayah, Osama F., 2021. "Twenty-nine years of the Journal of International Review of Economics and Finance: A scientometric overview (1992–2020)," International Review of Economics & Finance, Elsevier, vol. 76(C), pages 1106-1125.
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  100. Mollah, Sabur & Zafirov, Goran & Quoreshi, AMM Shahiduzzaman, 2014. "Financial Market Contagion during the Global Financial Crisis," Working Papers 2014/05, Blekinge Institute of Technology, Department of Industrial Economics.
  101. Carlos Pinho & Mara Madaleno, 2016. "Oil prices and stock returns: nonlinear links across sectors," Portuguese Economic Journal, Springer;Instituto Superior de Economia e Gestao, vol. 15(2), pages 79-97, August.
  102. Nadhem Selm & Nejib Hachicha, 2014. "Can Bank be a Cause of Contagion during the Global Financial Crisis?," International Journal of Economics and Financial Issues, Econjournals, vol. 4(2), pages 353-362.
  103. Maltritz, Dominik & Molchanov, Alexander, 2014. "Country credit risk determinants with model uncertainty," International Review of Economics & Finance, Elsevier, vol. 29(C), pages 224-234.
  104. 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.
  105. Zouheir Mighri, 2018. "On the Dynamic Linkages Among International Emerging Currencies," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 16(2), pages 427-473, June.
  106. José Da Fonseca & Peiming Wang, 2016. "A joint analysis of market indexes in credit default swap, volatility and stock markets," Applied Economics, Taylor & Francis Journals, vol. 48(19), pages 1767-1784, April.
  107. Li, Zheng-Zheng & Li, Yameng & Huang, Chia-Yun & Peculea, Adelina Dumitrescu, 2023. "Volatility spillover across Chinese carbon markets: Evidence from quantile connectedness method," Energy Economics, Elsevier, vol. 119(C).
  108. Huaibing Yu, 2020. "Have Stock Markets across the Globe Been Kidnapped by the Covid-19 Pandemic?," Bulletin of Applied Economics, Risk Market Journals, vol. 7(2), pages 165-173.
  109. Kanno, Masayasu, 2020. "Credit risk assessment in real estate investment trusts: A perspective on blockholding and lending networks," International Review of Financial Analysis, Elsevier, vol. 71(C).
  110. Andrea Eross & Andrew Urquhart & Simon Wolfe, 2019. "Investigating risk contagion initiated by endogenous liquidity shocks: evidence from the US and eurozone interbank markets," The European Journal of Finance, Taylor & Francis Journals, vol. 25(1), pages 35-53, January.
  111. Neha Seth & Monica Sighania, 2017. "Financial market contagion: selective review of reviews," Qualitative Research in Financial Markets, Emerald Group Publishing Limited, vol. 9(4), pages 391-408, November.
  112. MeiChi Huang, 2014. "Monetary policy implications of housing shift-contagion across regional markets," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 38(4), pages 589-608, October.
  113. Youssef, Manel & Mokni, Khaled, 2020. "Modeling the relationship between oil and USD exchange rates: Evidence from a regime-switching-quantile regression approach," Journal of Multinational Financial Management, Elsevier, vol. 55(C).
  114. Zhu, Huiming & Huang, Hui & Peng, Cheng & Yang, Yan, 2016. "Extreme dependence between crude oil and stock markets in Asia-Pacific regions: Evidence from quantile regression," Economics Discussion Papers 2016-46, Kiel Institute for the World Economy (IfW Kiel).
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