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Financial contagion: A local correlation analysis

Citations

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Cited by:

  1. Ng, Andrew Cheuk-Yin & Li, Johnny Siu-Hang & Chan, Wai-Sum, 2011. "Modeling investment guarantees in Japan: A risk-neutral GARCH approach," International Review of Financial Analysis, Elsevier, vol. 20(1), pages 20-26, January.
  2. Nilsson, William, 2019. "Estimating nonlinear intergenerational income mobility with correlation curves," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 13, pages 1-20.
  3. Kemper, Kris & Lee, Allissa & Simkins, Betty J., 2012. "Diversification revisited," Research in International Business and Finance, Elsevier, vol. 26(2), pages 304-316.
  4. Sangita Choudhary & Shelly Singhal, 2020. "International linkages of Indian equity market: evidence from panel co-integration approach," Journal of Asset Management, Palgrave Macmillan, vol. 21(4), pages 333-341, July.
  5. Bello, Jaliyyah & Guo, Jiaqi & Newaz, Mohammad Khaleq, 2022. "Financial contagion effects of major crises in African stock markets," International Review of Financial Analysis, Elsevier, vol. 82(C).
  6. Sarwar, Ghulam, 2023. "Market risks that change US-European equity correlations," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 83(C).
  7. Salisu, Afees A. & Demirer, Riza & Gupta, Rangan, 2022. "Financial turbulence, systemic risk and the predictability of stock market volatility," Global Finance Journal, Elsevier, vol. 52(C).
  8. Mahadeo, Scott M.R. & Heinlein, Reinhold & Legrenzi, Gabriella D., 2019. "Energy contagion analysis: A new perspective with application to a small petroleum economy," Energy Economics, Elsevier, vol. 80(C), pages 890-903.
  9. Wild, Joerg, 2016. "Efficiency and risk convergence of Eurozone financial markets," Research in International Business and Finance, Elsevier, vol. 36(C), pages 196-211.
  10. Ginanjar Dewandaru & Rumi Masih & Mansur Masih, 2018. "Unraveling the Financial Contagion in European Stock Markets During Financial Crises: Multi-Timescale Analysis," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 54(4), pages 859-880, March.
  11. Støve, Bård & Tjøstheim, Dag & Hufthammer, Karl Ove, 2014. "Using local Gaussian correlation in a nonlinear re-examination of financial contagion," Journal of Empirical Finance, Elsevier, vol. 25(C), pages 62-82.
  12. Deniz Sevinc & Edgar Mata Flores, 2021. "Macroeconomic and financial implications of multi‐dimensional interdependencies between OECD countries," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(1), pages 741-776, January.
  13. Kara, Alper & Hacihasanoglu, Yavuz Selim & Unalmis, Deren, 2021. "Financial contagion and the role of firm characteristics," Finance Research Letters, Elsevier, vol. 38(C).
  14. Dutta, Anupam, 2018. "Implied volatility linkages between the U.S. and emerging equity markets: A note," Global Finance Journal, Elsevier, vol. 35(C), pages 138-146.
  15. Olena Kostylenko & Helena Sofia Rodrigues & Delfim F. M. Torres, 2019. "The spread of a financial virus through Europe and beyond," Papers 1901.07241, arXiv.org.
  16. Tjøstheim, Dag & Hufthammer, Karl Ove, 2013. "Local Gaussian correlation: A new measure of dependence," Journal of Econometrics, Elsevier, vol. 172(1), pages 33-48.
  17. Zainudin, Ahmad Danial & Mohamad, Azhar, 2021. "Financial contagion in the futures markets amidst global geo-economic events," The Quarterly Review of Economics and Finance, Elsevier, vol. 81(C), pages 288-308.
  18. Zhang, Feipeng & Xu, Yixiong & Yuan, Di, 2024. "Detecting financial contagion using a new nonparametric measure of asymmetric comovements," International Review of Economics & Finance, Elsevier, vol. 89(PA), pages 284-296.
  19. Jiang, Hai & Tang, Shenfeng & Li, Lifang & Xu, Fangming & Di, Qian, 2022. "Re-examining the Contagion Channels of Global Financial Crises: Evidence from the Twelve Years since the US Subprime Crisis," Research in International Business and Finance, Elsevier, vol. 60(C).
  20. Zorgati, Imen & Garfatta, Riadh, 2021. "Spatial financial contagion during the COVID-19 outbreak: Local correlation approach," The Journal of Economic Asymmetries, Elsevier, vol. 24(C).
  21. Sarwar, Ghulam, 2022. "Market risks that change domestic diversification benefits," The North American Journal of Economics and Finance, Elsevier, vol. 63(C).
  22. Nilsson, Jan Olof William, 2018. "Estimating nonlinear intergenerational income mobility with correlation curves," Economics Discussion Papers 2018-62, Kiel Institute for the World Economy (IfW Kiel).
  23. Jessica James & Kristjan Kasikov & Kerry-Ann Edwards, 2012. "The end of diversification," Quantitative Finance, Taylor & Francis Journals, vol. 12(11), pages 1629-1636, November.
  24. Guoli Mo & Chunzhi Tan & Weiguo Zhang & Xuezeng Yu, 2023. "Dynamic spatiotemporal correlation coefficient based on adaptive weight," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 9(1), pages 1-43, December.
  25. Mo, Guoli & Zhang, Weiguo & Tan, Chunzhi & Liu, Xing, 2022. "Predicting the portfolio risk of high-dimensional international stock indices with dynamic spatial dependence," The North American Journal of Economics and Finance, Elsevier, vol. 59(C).
  26. Zhang, Yi & Zhou, Long & Chen, Yajiao & Liu, Fang, 2022. "The contagion effect of jump risk across Asian stock markets during the Covid-19 pandemic," The North American Journal of Economics and Finance, Elsevier, vol. 61(C).
  27. Sangita Choudhary & Shelly Singhal, 0. "International linkages of Indian equity market: evidence from panel co-integration approach," Journal of Asset Management, Palgrave Macmillan, vol. 0, pages 1-9.
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