A New Approach to Measuring Financial Contagion

Kee‐Hong Bae, George Andrew Karolyi, René M. Stulz

2000-09-01reportNational Bureau of Economic Research723 citationsgreen

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Financial Risk and Volatility Modeling Financial Markets and Investment Strategies Market Dynamics and Volatility

Abstract

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References

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2002No Contagion, Only Interdependence: Measuring Stock Market Comovements

2001Extreme Correlation of International Equity Markets

1990Correlations in Price Changes and Volatility across International Stock Markets

1995Is the correlation in international equity returns constant: 1960–1990?

2002International Asset Allocation With Regime Shifts

1990Transmission of Volatility between Stock Markets

2002Asymmetric correlations of equity portfolios

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2012A review of copula models for economic time series

2015Modeling financial contagion using mutually exciting jump processes

2005Empirical modelling of contagion: a review of methodologies

2002Are Financial Assets Priced Locally or Globally?