Stock market linkages and financial contagion: A cobreaking analysis

Systemic risk contagion in FX market: A frequency connectedness and network analysis

“…The dynamic nature of contagion has been the focus of the recent literature with the application of different econometric methodologies. Among them, researchers employ methodologies such as multivariate GARCH (Gardini and De Angelis, 2002;Arestis, Maria Caporale, Cipollini, & Spagnolo, 2005;Celik, 2012;Chiang, Jeon, & Li, 2007;Hemche et al, 2016;Moussa, 2014;Phylaktis & Xia, 2009), regime switching models (Guo et al, 2011;Kenourgios, Samitas, & Paltalidis, 2011;Dimitrou and Kenourgios, 2013), copulas (Aloui, Aïssa, and Nguyen, 2012), logit-probit models (Dungey & Gajurel, 2015;Luchtenberg & Vu, 2015) and VAR models (Ahlgren & Antell, 2010;Favero & Giavazzi, 2002;Guo et al, 2011;Longstaff, 2010;Rigobon, 2003;Samarakoon, 2011).…”

Are current EU cereal prices correlated?

“…Outside the agricultural markets, in recent years the transmission of financial crisis and the concept of contagion (for instance Rigobon, 2003;Bekaert et al, 2005;Dungey el al., 2005 andAhlgren and Antell 2010) have received particular attention.…”

The end of diversification

“…Prior to 2007, however, there were some studies which considered contagion to be unproven or specific to a few markets or situations (Forbes and Rigobon 2002). But this qualification seems to largely disappear after the 2007 and 2008 periods; a number of papers find significant contagion in the crisis and post-crisis regimes (Dungey and Martin 2007, Phylaktis and Xia 2009, Ahlgren and Antell 2010, Baele and Inghelbrecht 2010, Dungey et al 2010, Longstaff 2010, Chan et al 2011, Inci et al 2011, Page and Taborsky 2011. Contagion seems to be here to stay, and it is not a guest that anybody wants to have.…”