Podlich, Natalia; Wedow, Michael - In: International Review of Financial Analysis 33 (2014) C, pp. 1-9
We examine crossborder contagion from a number of financial systems to the German financial system using the information content of CDS prices in a GARCH model. After controlling for common factors which may cause comovement in security prices, we find evidence for contagion from the US and...
