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Contagion and interdependence in Eurozone bank and sovereign credit markets
16 references·1 citing·37 second hop
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References

  • 1992Testing the null hypothesis of stationarity against the alternative of a unit root12,634 cited
  • 2002Dynamic Conditional Correlation7,126 cited
  • 1998Generalized impulse response analysis in linear multivariate models6,129 cited
  • 1996Efficient Tests for an Autoregressive Unit Root5,637 cited
  • 2002No Contagion, Only Interdependence: Measuring Stock Market Comovements4,647 cited
  • 1992Efficient Tests for an Autoregressive Unit Root4,234 cited
  • 2001LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power3,944 cited
  • 2000Financial Contagion3,393 cited
  • 1992Testing structural hypotheses in a multivariate cointegration analysis of the PPP and the UIP for UK1,659 cited
  • 1995One Security, Many Markets: Determining the Contributions to Price Discovery1,625 cited
  • 1995Estimation of Common Long-Memory Components in Cointegrated Systems1,313 cited
  • 2000Sulfur Dioxide Control by Electric Utilities: What Are the Gains from Trade?1,186 cited
  • 2005An Empirical Analysis of the Dynamic Relation between Investment‐Grade Bonds and Credit Default Swaps1,166 cited
  • 2007Dynamic correlation analysis of financial contagion: Evidence from Asian markets896 cited
  • 2000

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Contagion: Understanding How It Spreads
812 cited
  • 2003A Primer on Financial Contagion696 cited
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    • 2023Spillover among Sovereign Credit Risk and the Role of Climate Uncertainty25 cited