Contagion: How to Measure It?

By Roberto Rigobon. 2001

207 citations recorded by the source corpus.

Subfields: Cognitive Neuroscience, Experimental and Cognitive Psychology, Safety Research

View Paper: https://www.semanticscholar.org/paper/6f1433a7475ef0776c39579528a3396edce6fdd3

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In Cognitive Neuroscience

In Experimental and Cognitive Psychology

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Citations in the corpus

Contagion and Interdependence in Stock Markets: Have they been misdiagnosed? (2003, background): “R, see alsoForbes & Rigobon, 2001a, 2001b), which takes into consideration the bias due to the changing volatility (i.e., heteroskedasticity), and the test proposed byCorsetti, Pericoli, and Sbracia (2002)(henceforth C–”
Currency crisis contagion and the identification of transmission channels (2008, methodology): “Forbes and Rigobon (2001b) and Rigobon (2002), however, argue that a marked increase in correlation among different countries' markets may not be a sufficient proof of contagion.”
Why Should Emerging Economies Give Up National Currencies?: A Case for "Institutions Substitution" (2002, background): “…Gust, and Roldos, 2002), working capital (Oviedo, 2002 and Neumeyer and Perri, 2002), default risk (Hamann, 2002), debt repayment incentive-compatibility constraints (Arellano, 2002), and current account targets (Valderrama, 2002). represent the informational costs alluded to in Section 2.”
Evidences of interdependence and contagion using a frequency domain framework (2005, methodology): “Measuring financial contagion also poses several statistical problems, as shown for instance by Forbes and Rigobon (2001) in several papers.”
Market Integration and Contagion (2005, unknown): “Forbes and Rigobon (2001) declare that ''there is no consensus on exactly what constitutes contagion or how it should be defined.''”
Measuring Sovereign Contagion in Europe (2014, unknown): “To investigate this issue more deeply, in this section we apply the DCC (Determinant of the Change in the Covariance matrix) test highlighted in Rigobon (2001), and Dungey et al. (2005).”
Measuring Contagion with a Bayesian, Time-Varying Coefficient Model (2003, unknown): “The contagion definition we adopt is that proposed by Forbes and Rigobon (2001, 2002), (henceforth, FR), and also used by King and Wadhwani (1990) among others.”
Sovereign Ceilings 'Lite'? The Impact of Sovereign Ratings on Corporate Ratings in Emerging Market Economies (2007, unknown): “Private sector borrowing may be `contaminated' by a sovereign default if they both belong to a particular asset class (Rigobon, 2001), borrow from the same banks (Van Rijckeghem and Weder, 2000) or share a set of overexposed mutual funds (Borensztein and Gelos, 2003).”