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23.977  Articles
1 of 2.399 pages  |  10  records  |  more records»
We explore the time-varying conditional correlations of the Sovereing CDS spread returns for Germany, France, China and Japan against USA. We employ a cDCC-AR-FIGARCH model in order to capture potential contagion effects between the markets... see more

The paper gives some new insights on the subject of financial contagion using the methodology of meta-analysis. We show that traditional qualitative literature review is not the proper way to summarise empirical findings of financial contagion and we use ... see more

This paper studies the relationships of dependence between financial markets, particularly the investigation of the effect of financial contagion between two sets of returns of stock indices: Dow Jones (DJ) and the General Index of the Stock Exchange of C... see more

Financial market comovement in ASEAN main member countries is still attractive to scrunitized, because this area is vulnerable to the impact on a global economic event. This study examined capital market integration of five ASEAN main members (Indonesia, ... see more

The main point of this work is to assess how a financial distress in return series of the major Brazilian companies assets and relevant domestic market (Ibovespa) and main international index (Dow Jones) interact with each other, in an attempt to capture ... see more

This article aims to test the hypothesis of contagion between the indices of financial markets from the United States into Brazil, Japan and the UK for the 2000 to 2009 period. Time varying copulas were used to capture the impact of the sub-prime crisis i... see more

ABSTRACT The Copula Theory was used to analyze contagion among the BRIC (Brazil, Russia, India and China) and European Union stock markets with the U.S. Equity Market. The market indexes used for the period between January 01, 2005 and February 27, 2010 a... see more

Despite originating in the U.S., the repercussions of the 2008 global financial crisis were spread all over the globe to affect all classes of economies, suggesting the presence of a global contagious effect.MENA countries, which have recently become more... see more

This article investigates shift-contagion as defined by Forbes and Rigobon (2002) in 16 OECD member economies during most recent financial crisis i.e. global financial crisis (2008-2009) and European sovereign debt crisis (2009-2012), using multivariate a... see more

1 of 2.399 pages  |  10  records  |  more records»