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Measuring Financial Contagion Using Time‐Aligned Data: The Importance of the Speed of Transmission of Shocks*
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References

  • 2002No Contagion, Only Interdependence: Measuring Stock Market Comovements4,647 cited
  • 1990Transmission of Volatility between Stock Markets1,588 cited
  • 1989Transmission of Volatility Between Stock Markets1,516 cited
  • 2003A New Approach to Measuring Financial Contagion1,015 cited
  • 2005‘Some contagion, some interdependence’: More pitfalls in tests of financial contagion791 cited
  • 2000A New Approach to Measuring Financial Contagion723 cited
  • 2003A Primer on Financial Contagion696 cited
  • 1999Financial Market Contagion in the Asian Crisis594 cited
  • 2005Empirical modelling of contagion: a review of methodologies549 cited
  • 1996Capital Flows to Latin America: Is There Evidence of Contagion Effects?476 cited
  • 1993DOES THE OCTOBER 1987 CRASH STRENGTHEN THE CO‐MOVEMENTS AMONG NATIONAL STOCK MARKETS?328 cited
  • 2001Returns synchronization and daily correlation dynamics between international stock markets231 cited
  • 1996Private capital flows to emerging markets after the Mexican crisis221 cited
  • 2009Contagion as a domino effect in global stock markets204 cited
  • 1998Financial Market Contagion in the Asian Crisis125 cited

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  • 2001Testing for contagion using correlations: some words of caution83 cited
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