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 during the 2011-2018 post global financial crisis....

This paper empirically investigates the contagion effects of the global financial crisis in a multivariate Fractionally Integrated Asymmetric Power ARCH (FIAPARCH) dynamic conditional correlation (DCC) framework during the period 1997-2012. We focus on five most important emerging equity...

Purpose: This paper aims to investigate the contagion effects of stock and FX markets for the USA and European monetary union (EMU) during the US subprime crisis of 2007-2009.Design/methodology/approach: The data sample is daily comprising a weighted Morgan Stanley Capital Index (MSCI) for US...