Add to ORKGJoint tests of contagion are derived which are designed to have power where contagion operates simultaneously through coskewness, cokurtosis and covolatility. Finite sample properties of the new tests are evaluated and compared with existing tests of contagion that focus on a single channel. Applying the tests to daily Eurozone equity returns from 2005 to 2014 shows that contagion operates through higher order moment channels during the GFC and the European debt crisis, which are not necessarily detected by traditional tests based on correlations.The authors gratefully acknowledge ARC Discovery Project DP160102350 and DP0985783 funding
Using daily data from 2002-2020, this study tests for contagion in the Eurozone using a binary stres...
The involvement of the world’s primary developed credit markets in the US at the heart of the globa...
This paper examines the contagion of the eurozone debt crisis to developed and emerging stock market...
Joint tests of contagion are derived which are designed to have power where contagion operates simul...
This thesis consists of four chapters that focus on the development of new statistical frameworks or...
A new class of tests of contagion is proposed identifying transmission channels of financial market ...
A new test for financial market contagion based on changes in extremal dependence defined as co-kurt...
PhD ThesisThis thesis explores the impact of financial contagion following the outbreak of the recen...
This paper provides an analysis of contagion by measuring disequilibria in risk premium dynamics. We...
We test for contagion between Eurozone bond markets during the sovereign debt crisis. Using a threer...
Financial market interdependence has been at the epicenter of the crisis in the euro area. This pape...
In this paper we test whether the co-movement of sovereign CDS premia increased significantly after ...
Tests for contagion in financial returns using correlation analysis are seriously affected by the si...
This paper contributes to the literature by applying the Granger-causality approach and endogenous b...
The aim of this paper is to test whether or not there was evidence of contagion across the various f...
Using daily data from 2002-2020, this study tests for contagion in the Eurozone using a binary stres...
The involvement of the world’s primary developed credit markets in the US at the heart of the globa...
This paper examines the contagion of the eurozone debt crisis to developed and emerging stock market...
Joint tests of contagion are derived which are designed to have power where contagion operates simul...
This thesis consists of four chapters that focus on the development of new statistical frameworks or...
A new class of tests of contagion is proposed identifying transmission channels of financial market ...
A new test for financial market contagion based on changes in extremal dependence defined as co-kurt...
PhD ThesisThis thesis explores the impact of financial contagion following the outbreak of the recen...
This paper provides an analysis of contagion by measuring disequilibria in risk premium dynamics. We...
We test for contagion between Eurozone bond markets during the sovereign debt crisis. Using a threer...
Financial market interdependence has been at the epicenter of the crisis in the euro area. This pape...
In this paper we test whether the co-movement of sovereign CDS premia increased significantly after ...
Tests for contagion in financial returns using correlation analysis are seriously affected by the si...
This paper contributes to the literature by applying the Granger-causality approach and endogenous b...
The aim of this paper is to test whether or not there was evidence of contagion across the various f...
Using daily data from 2002-2020, this study tests for contagion in the Eurozone using a binary stres...
The involvement of the world’s primary developed credit markets in the US at the heart of the globa...
This paper examines the contagion of the eurozone debt crisis to developed and emerging stock market...