Empirical modelling of contagion: a review of methodologies
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(20)- Econometric issues in the analysis of contagion
- Measuring sovereign risk spillovers and assessing the role of transmission channels: a spatial econometrics approach
- Contagion in eurozone sovereign bond markets? The good, the bad and the ugly
- Testing for mutually exciting jumps and financial flights in high frequency data
- Mildly explosive dynamics in U.S. fixed income markets
- Empirical asset pricing with multi-period disaster risk: a simulation-based approach
- Market linkages, variance spillovers, and correlation stability: empirical evidence of financial contagion
- Spatial contagion between financial markets: a copula-based approach
- Volatility transmission patterns and terrorist attacks
- Unveiling investor-induced channels of financial contagion in the 2008 financial crisis using copulas
- Characterizing financial crises using high-frequency data
- A statistical procedure for testing financial contagion
- Joint tests of contagion with applications
- Did China avoid the ‘Asian flu’? The contagion effect test with dynamic correlation coefficients
- A new Bayesian model for contagion and interdependence
- scientific article; zbMATH DE number 7686977 (Why is no real title available?)
- A revisit to sovereign risk contagion in eurozone with mutual exciting regime-switching model
- Co-movements, option pricing and risk management: an application to WTI versus Brent spread options
- On spatial contagion and multivariate GARCH models
- Spatial-temporal stock movement prediction and portfolio selection based on the semantic company relationship graph
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