transmission mechanism-contagion-during turbulences in mature markets. Tri-variate GARCH-BEKK models of returns in global (mature …

Russia. The adopted framework allows to analyse interdependence by estimating volatility spillovers, and also contagion by … evidence on possible changes in the transmission mechanism (namely, on whether there is contagion) can be obtained by examining … spillovers between the three CEECs considered and the UK (contagion). …

debt crisis. It shows that a deterioration in countries’ fundamentals and fundamentals contagion – a sharp rise in the … spreads during the crisis, not only for euro area countries but globally. By contrast, regional spill overs and contagion have … been less important, including for euro area countries. The paper also finds evidence for herding contagion – sharp …

foreign exchange and stock markets, indicating a tendency toward contagion. In searching for the origins of financial market …

and volatilities (contagion). More precisely, cyber attacks appear to strengthen cross-market linkages, thereby reducing …