considerably increased exhibiting a certain level of correlation. We find signs of a co-movement effect between the volatilities of …, using a bivariate SWARCH model to show the dependence of the high and low volatility states of the IT.CAC on the NASDAQ-100 …, with no intermediate simultaneous high-low volatility states. …

modeling this market’s high volatility to prevent against crises.The strong linkage of the American and European New Technology … sectors has brought up the co-movement and the contagion hypothesis,especially after the fall in new technology stock prices … work on contagion in the case of stock market indexes. …

affected by ‘vo- latility contagion’ coming from emerging markets. I find also some partial support for the ‘volatility … contagion’ hypothesis on Czech interest rates. These findings shed some doubts on the alleged theoretical ability of a floating … exchange rate regime, thereby re-establishing some credibility of the theory. …

modelling international bond markets. We derive necessary conditions for the correlation and volatility structure of mixture …

In this paper we test for contagion within the East Asian region, contagion being defined as a significant increase in … omitted variable respectively. The null of interdependence against the alternative of contagion is then tested as an over …-identifying restriction. Unlike other studies, our approach is based on full-sample estimation, and hence avoids the power problems arising …

Cet article a pour objet d’´etudier empiriquement le ph´enom`ene de contagion lors de la crise asiatique de 1997 …