Empirical modelling of contagion: a review of methodologies
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Cites work
Cited in
(20)- Market linkages, variance spillovers, and correlation stability: empirical evidence of financial contagion
- Empirical asset pricing with multi-period disaster risk: a simulation-based approach
- scientific article; zbMATH DE number 7686977 (Why is no real title available?)
- On spatial contagion and multivariate GARCH models
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- Spatial-temporal stock movement prediction and portfolio selection based on the semantic company relationship graph
- Contagion in eurozone sovereign bond markets? The good, the bad and the ugly
- Volatility transmission patterns and terrorist attacks
- Joint tests of contagion with applications
- Did China avoid the ‘Asian flu’? The contagion effect test with dynamic correlation coefficients
- A revisit to sovereign risk contagion in eurozone with mutual exciting regime-switching model
- Spatial contagion between financial markets: a copula-based approach
- Characterizing financial crises using high-frequency data
- Co-movements, option pricing and risk management: an application to WTI versus Brent spread options
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