Financial contagion, spillovers and causality in the Markov switching framework

DOI10.1080/14697680500117716zbMATH Open1118.91346OpenAlexW2092426574MaRDI QIDQ5697343FDOQ5697343

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

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• Volatility spillovers, interdependence and comovements: a Markov switching approach
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Mathematics Subject Classification ID

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

Cites Work

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

Cited In (10)

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

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