Add to ORKGThe aim of this paper is to test whether or not there was evidence of contagion across the various financial crises that assailed some countries in the 1990s. Data on sovereign debt bonds for Brazil, Mexico, Russia and Argentina were used to implement the test. The contagion hypothesis is tested using multivariate volatility models. If there is any evidence of structural break in volatility that can be linked to financial crises, the contagion hypothesis will be confirmed. Results suggest that there is evidence in favor of the contagion hypothesis
This paper proposes an original three-part sequential testing procedure (STP) with which to test for...
We conduct an empirical investigation into the financial contagion hypothesis in the context of 12 U...
This thesis consists of four chapters that focus on the development of new statistical frameworks or...
The aim of this paper is to test whether or not there was evidence of contagion across the various f...
The aim of this paper is to test whether or not there was evidence of contagion across the various f...
The aim of this paper is to test whether or not there was evidence of contagion across the various f...
The aim of the paper is to provide an analysis of contagion through the measurement of the risk prem...
This paper proposes a new test of financial contagion based on a nonparametric measure of the cross-...
The aim of this paper is to look for evidence of financial contagion suffered by several countries a...
This article investigates the existence of contagion between countries on the basis of an analysis o...
In the last several years, there has been a large amount of effort aimed at identifying the causes o...
This paper proposes a multivariate test to measure the statistical and economic significance of cont...
The paper aims to investigate the research question whether the US 2008 crisis spilled over contagio...
The purpose of this study is to investigate whether contagion actually occurred during three well-kn...
From early 2010, the Euro Area has faced a severe sovereign debt crisis. I use multi- and univariate...
This paper proposes an original three-part sequential testing procedure (STP) with which to test for...
We conduct an empirical investigation into the financial contagion hypothesis in the context of 12 U...
This thesis consists of four chapters that focus on the development of new statistical frameworks or...
The aim of this paper is to test whether or not there was evidence of contagion across the various f...
The aim of this paper is to test whether or not there was evidence of contagion across the various f...
The aim of this paper is to test whether or not there was evidence of contagion across the various f...
The aim of the paper is to provide an analysis of contagion through the measurement of the risk prem...
This paper proposes a new test of financial contagion based on a nonparametric measure of the cross-...
The aim of this paper is to look for evidence of financial contagion suffered by several countries a...
This article investigates the existence of contagion between countries on the basis of an analysis o...
In the last several years, there has been a large amount of effort aimed at identifying the causes o...
This paper proposes a multivariate test to measure the statistical and economic significance of cont...
The paper aims to investigate the research question whether the US 2008 crisis spilled over contagio...
The purpose of this study is to investigate whether contagion actually occurred during three well-kn...
From early 2010, the Euro Area has faced a severe sovereign debt crisis. I use multi- and univariate...
This paper proposes an original three-part sequential testing procedure (STP) with which to test for...
We conduct an empirical investigation into the financial contagion hypothesis in the context of 12 U...
This thesis consists of four chapters that focus on the development of new statistical frameworks or...