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Transmission of government default risk in the eurozone
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Transmission of government default risk in the eurozone (2014)Transmission of government default risk i…The pricing of sovereign risk and contagion during the European sovereign debt crisis (2012)The pricing of sovereign risk…Self-fulfilling crises in the Eurozone: An empirical test (2012)Self-fulfilling crises in the…Contagion During the Greek Sovereign Debt Crisis (2012)Contagion During the Greek So…Dynamic correlation analysis of financial contagion: Evidence from Asian markets (2007)Dynamic correlation analysis …Econometric issues in the analysis of contagion (2006)Econometric issues in the ana…Testing for contagion: a conditional correlation analysis (2005)Testing for contagion: a cond…Market Integration and Contagion (2005)Market Integration and Contag…Empirical modelling of contagion: a review of methodologies (2005)Empirical modelling of contag…‘Some contagion, some interdependence’: More pitfalls in tests of financial contagion (2005)‘Some contagion, some interde…Measuring The Reaction of Monetary Policy to the Stock Market (2003)Measuring The Reaction of Mon…Identification Through Heteroskedasticity (2003)Identification Through Hetero…A Primer on Financial Contagion (2003)A Primer on Financial Contagi…No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)No Contagion, Only Interdepen…Is the international propagation of financial shocks non-linear? (2002)Is the international propagat…Measuring Contagion: Conceptual and Empirical Issues (2001)Measuring Contagion: Conceptu…Contagion: Understanding How It Spreads (2000)Contagion: Understanding How …A Model of Balance-of-Payments Crises (1979)Foundations of International Macroeconomics (1997)Social Interactions in High School: Lessons from an Earthquake (2007)Global financial crisis and emerging stock market contagion: A multivariate FIAPARCH–DCC approach (2013)Risk, uncertainty and monetary policy (2013)Rise of the Machines: Algorithmic Trading in the Foreign Exchange Market (2014)The Quarterly Journal of Economics (2024)Bank Runs, Deposit Insurance, and Liquidity (1983)A Simple Model of Herd Behavior (1992)Emerging markets finance (2003)The subprime credit crisis and contagion in financial markets (2010)Modeling financial contagion using mutually exciting jump processes (2015)Transmission of Volatility Between Stock Markets (1989)Transmission of Volatility between Stock Markets (1990)Family succession and firm performance: Evidence from Italian family firms (2007)Assessing financial contagion in the interbank market: Maximum entropy versus observed interbank lending patterns (2010)Service Regulation and Growth: Evidence from OECD Countries (2011)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)International Stock Return Comovements (2005)Capital flows, push versus pull factors and the global financial crisis (2012)Debt with Potential Repudiation: Theoretical and Empirical Analysis (1981)Spurious regression and residual-based tests for cointegration in panel data (1999)Measuring bilateral spillover and testing contagion on sovereign bond markets in Europe (2014)Varieties of capitalism in light of the euro crisis (2017)EMU risk-synchronisation and financial fragility through the prism of dynamic connectedness (2020)Determinants and Impact of Sovereign Credit Ratings (1996)The Dynamics of Spillover Effects during the European Sovereign Debt Turmoil (2012)Credit Default Swaps: A Survey (2014)Intra- and inter-regional return and volatility spillovers across emerging and developed markets: Evidence from stock indices and stock index futures (2015)Multivariate Simultaneous Generalized ARCH (1995)Dynamic Conditional Correlation (2002)An empirical analysis of herd behavior in global stock markets (2010)Financial crises and stock market contagion in a multivariate time-varying asymmetric framework (2010)The COVID-19 Outbreak and Affected Countries Stock Markets Response (2020)The impact of monetary policy on asset prices (2004)Real-time price discovery in global stock, bond and foreign exchange markets (2007)Extreme Correlation of International Equity Markets (2001)Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets (2008)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)
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References

  • 2002No Contagion, Only Interdependence: Measuring Stock Market Comovements4,647 cited
  • 2005Market Integration and Contagion1,061 cited
  • 2003Identification Through Heteroskedasticity922 cited
  • 2007Dynamic correlation analysis of financial contagion: Evidence from Asian markets896 cited
  • 2000Contagion: Understanding How It Spreads812 cited
  • 2005‘Some contagion, some interdependence’: More pitfalls in tests of financial contagion791 cited
  • 2003Measuring The Reaction of Monetary Policy to the Stock Market744 cited
  • 2003A Primer on Financial Contagion696 cited
  • 2012Self-fulfilling crises in the Eurozone: An empirical test631 cited
  • 2012The pricing of sovereign risk and contagion during the European sovereign debt crisis567 cited
  • 2005Empirical modelling of contagion: a review of methodologies549 cited
  • 2001Measuring Contagion: Conceptual and Empirical Issues514 cited
  • 2006Econometric issues in the analysis of contagion289 cited
  • 2002Is the international propagation of financial shocks non-linear?277 cited
  • 2005Testing for contagion: a conditional correlation analysis251 cited

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Contagion During the Greek Sovereign Debt Crisis
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