Financial contagion, spillovers and causality in the Markov switching framework

DOI10.1080/14697680500117716MaRDI QIDQ5697343zbMATH OpenOpenAlexFDO

Authors Jędrzej Białkowski, Dobromił Serwa

Publication date 17 October 2005

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/14697680500117716

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; economic indices and measures (91B82)

Recommendations

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Cites work

• A causality-in-variance test and its application to financial market prices
• A test for volatility spillovers.
• Analysis of time series subject to changes in regime
• Investigating Causal Relations by Econometric Models and Cross-spectral Methods
• Moments of Markov switching models

Cited in

(10)

• Volatility spillovers, interdependence and comovements: a Markov switching approach
• A test for volatility spillovers.
• Tail Granger causalities and where to find them: extreme risk spillovers vs spurious linkages
• Contagion modeling between the financial and insurance markets with time changed processes
• Market linkages, variance spillovers, and correlation stability: empirical evidence of financial contagion
• Can CDS indexes signal future turmoils in the stock market? A Markov switching perspective
• Granger causality in risk and detection of extreme risk spillover between financial markets
• `Slow-burn' spillover and `fast and furious' contagion: a study of international stock markets
• Granger-causality in Markov switching models
• A statistical procedure for testing financial contagion

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