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Kick, Heinrich - In: Asset pricing, financial intermediation and banking …, (pp. 37-74). 2017

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Contagion effects in ASEAN-5 exchange rates during the Covid-19 pandemic

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The impact of COVID-19 on sovereign contagion

Drakos, Anastasios; Moratis, Georgios - In: Journal of financial stability 70 (2024), pp. 1-11

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COVID-19 pandemic and stock market contagion : a wavelet-copula GARCH approach

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When the markets get COVID : contagion, viruses, and information diffusion

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COVID19 outbreak impact on international stock markets colatility contagion

Sosa Castro, Magnolia Miriam; Ortiz, Edgar; … - In: Revista de métodos cuantitativos para la economía y … 35 (2023), pp. 175-200

We analyze volatility contagion between the U.S. and Chinese stock markets and international capital markets. The volatility is modeled using: GARCH, TARCH, EGARCH, APARCH, IGARCH, FIGARCH, ACGARCH and GAS models under Gaussian, GED and t-Student distributions. 21,000 intraday observations of...

Persistent link: https://www.econbiz.de/10015338449

No safe haven, only diversification and contagion : intraday evidence around the COVID-19 pandemic

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Sovereign contagion risk measure across financial markets in the eurozone : a bivariate copulas and Markov Regime Switching ARMA based approaches

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Market interactions in gold and stock markets : evidences from Saudi Arabia

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Financial market contagion and fine wines : the evidence of the ADCC GARCH model

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