sovereign debt crisis. A dynamic conditional correlation (DCC) multivariate GARCH model is used to estimate to what extent the … this crisis. During the Irish financial crisis from 2007 to 2010, strong contagion effects are uncovered between Irish … equity markets and the investigated European equity markets. The contagion effects are found to ease dramatically in the …

We examine whether there is contagion from the U.S. stock market to six Central and Eastern European stock markets. We … use a novel measure of contagion that examines whether volatility shocks in the U.S. stock market coupled with negative … set of marketrelated variables, we show that during the period from 1998 to 2014, financial contagion occurred, i …

time of the COVID-19 pandemic. We provide evidence in favour of energy contagion, in term of significantly higher …

and spillover is higher during bearish market states, highlighting the possibility of contagion effect mainly among …

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 …