“…In particular, Dungey et al (2005) provide a summary of empirical models of contagion up to 2005. More recent empirical work includes Diebold and Yilmaz (2009, Caceres et al (2010), Billio et al (2012), Claeys and Vasicek (2014), Lucas et al (2014), and Brownlees and Engle (2016). Of particular relevance for our paper is the work of Diebold and Yilmaz (2009 which influenced subsequent studies such as McMillan and Speight (2010), Bubák et al (2011), Fujiwara andTakahashi (2012), Klößner and Wagner (2014), Alter and Beyer (2014), Chau and Deesomsak (2014), Demirer et al (2015), and Fengler and Gisler (2015).…”