A New Approach to Measuring Financial Contagion

By Kee‐Hong Bae, G. Karolyi, René M. Stulz. 2000

1,193 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/20407583acd60f99d0303eca67b1ac0a981e76c0

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Citations in the corpus

A Multivariate GARCH Model with Time-Varying Correlations (2000, methodology): “In comparison, an unrestricted BEKK(1, 1) model has K (K + 1)/2 + 2K(2) parameters.”
Equity Market Contagion During the Global Financial Crisis: Evidence from the World's Eight Largest Economies (2014, neutral): “We take the latent factor approach of Dungey et al. (2005), which nests several other empirical approaches (Bae et al., 2003; Bekaert et al., 2005; Corsetti et al., 2005; Favero and Giavazzi, 2002; Forbes and Rigobon, 2002) in a unifying framework to test for contagion.”
Testing the Conventional and Islamic Financial Market Contagion: Evidence from Wavelet Analysis (2016, background): “The term “pure” contagion (see among others Eichengreen et al., 1996; Bae et al., 2003) refers to the transmission of shocks from one country to another country in excess of what should be expected after controlling for fundamental factors.”
Estimation of Copula Models for Time Series of Possibly Different Length (2001, neutral): “Then there exists a unique conditional copula Ct : [0; 1] £ [0; 1] ! [0; 1] such that Ht(x;yjFt¡1) = Ct(Ft(xjFt¡1);Gt(yjFt¡1)jFt¡1); 8x; y 2 1 R (4)”
Euro area government bonds – Fragmentation and contagion during the sovereign debt crisis (2017, background): “Initially, spreads across countries were low and there was a high degree of co-movement 1 Bae et al. (2003) and Forbes and Rigobon (2002) are just two examples of seminal contributions to this literature.”
Testing for East-West Contagion in the European Banking Sector During the Financial Crisis (2011, background): “Bae, Karolyi, and Stulz (2003) do the same for emerging-market stock returns.”
Is the Potential for International Diversification Disappearing? A Dynamic Copula Approach (2012, neutral): “[5] Bae, K.”
How Do Crises Spread? Evidence from Accessible and Inaccessible Stock Indices (2006, neutral): “Bae, Karolyi, and Stulz (2003) focus on analyzing the joint occurrences of extreme events using a multinomial logistic model.”
Measuring Bilateral Spillover and Testing Contagion on Sovereign Bond Markets in Europe (2014, background): “Other tests first select the shocks from the residual outliers in a VAR defined on the asset prices to isolate the crisis-date, and consequently test the significance of a dummy series associated with these outliers in a structural model explaining asset prices to find evidence of contagion on these”
Measuring contagion between energy market and stock market during financial crisis: A copula approach (2012, background): “…coefficient doesn't consider conditional heteroskedasticity (Boyer et al., 1999; Forbes and Rigobon, 2002; Longin and Solnik, 2001) and it is a linear measure that is inappropriate if contagion is an event that is characterized by non-linear changes of market association (Bae et al., 2003).”