Using local Gaussian correlation in a nonlinear re-examination of financial contagion

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An Updated Literature Review of Distance Correlation and Its Applications to Time Series (2017, unknown): “Complementary to our work, we refer to the recent paper by Székely and Rizzo (2017) that gives a comprehensive overview of energy statistics and distance correlation methods.”
Local Gaussian correlation: A new measure of dependence (2013, background): “It is possible to apply the local Gaussian correlation to measure and detect financial contagion (Støve et al. (2012). In principle, a joint local analysis of more than two variables can be done.”