Journal ArticleDOI
Time-varying integration, interdependence and contagion ☆
Lieven Baele,Koen Inghelbrecht +1 more
TLDR
In this article, a two-factor model with global and regional market shocks as factors was developed to test contagion in 14 European countries for a set of 14 countries and found that the model outperformed more restricted versions of the factor specifications.About:
This article is published in Journal of International Money and Finance.The article was published on 2010-09-01. It has received 89 citations till now. The article focuses on the topics: Market integration & Capital asset pricing model.read more
Citations
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Journal ArticleDOI
International Asset Pricing and Portfolio Diversification with Time-Varying Risk
The Political Economy of Global Finance: AN etwork Model
TL;DR: In this article, the authors develop an alternative network-based approach that shifts the analytical focus to the relations between actors and explore key characteristics of this global financial network, including how the hierarchic network structure shapes the dynamics of financial contagion and the source and persistence of power.
Journal ArticleDOI
The Political Economy of Global Finance: A Network Model
TL;DR: In this paper, the authors develop an alternative network-based approach that shifts the analytical focus to the relations between actors and explore key characteristics of this global financial network, including how the hierarchic network structure shapes the dynamics of financial contagion and the source and persistence of power.
Journal ArticleDOI
Structural breaks in volatility spillovers between international financial markets: Contagion or mere interdependence?
Robert C. Jung,Robert Maderitsch +1 more
TL;DR: In this article, the authors conduct an investigation of volatility transmission between stock markets in Hong Kong, Europe and the United States covering the time period from 2000 up to 2011, and find effects consistent with the notion of contagion, suggesting strong and sudden increases in the cross market synchronization of chronologically succeeding volatilities.
References
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Journal ArticleDOI
A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle.
TL;DR: In this article, the parameters of an autoregression are viewed as the outcome of a discrete-state Markov process, and an algorithm for drawing such probabilistic inference in the form of a nonlinear iterative filter is presented.
Journal ArticleDOI
No Contagion, Only Interdependence: Measuring Stock Market Comovements
TL;DR: The authors showed that correlation coefficients are conditional on market volatility, and that there was virtually no increase in unconditional correlation coefficients (i.e., no contagion) during the 1997 Asian crisis, 1994 Mexican devaluation, and 1987 U.S. market crash.
Journal ArticleDOI
Measuring and Testing the Impact of News on Volatility
Robert F. Engle,Victor K. Ng +1 more
TL;DR: This paper defined the news impact curve which measures how new information is incorporated into volatility estimates and compared various ARCH models including a partially nonparametric one with daily Japanese stock return data.
Posted Content
No Contagion, Only Interdependence: Measuring Stock Market Co-Movements
TL;DR: In this article, the authors examined stock market co-movements and applied these concepts to test for stock market contagion during the 1997 East Asian crises, the 1994 Mexican peso collapse, and the 1987 U.S. stock market crash.
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The Endogeneity of the Optimum Currency Area Criteria
TL;DR: The authors investigated the relationship between international trade patterns and international business cycle correlations and found that countries with closer trade links tend to have more tightly correlated business cycles and were more likely to satisfy the criteria for entry into a currency union after taking steps toward economic integration than before.