Correlation Analysis of Financial Contagion

Financial Contagion: The Viral Threat to the Wealth of Nations

Volumn , Issue , 2011, Pages 11-20

  Corsetti, Giancarlo ^a   Pericoli, Marcello ^b   Sbracia, Massimo ^c  

^a UNIVERSITY OF CAMBRIDGE   (United Kingdom)

^b SAPIENZA UNIVERSITY OF ROME   (Italy)

^c UNIVERSITY OF PENNSYLVANIA   (United States)

Author keywords

Financial contagion; Greek crisis; International transmission mechanism; Market panics; Portugal

Indexed keywords

EID: 84875238350     PISSN: None     EISSN: None     Source Type: Book    
DOI: 10.1002/9781118267646.ch2     Document Type: Chapter

References (5)

1. Corsetti, Giancarlo, Marcello Pericoli, and Massimo Sbracia. 2005. "Some Contagion, Some Interdependence: More Pitfalls in Tests of Financial Contagion." Journal of International Money and Finance 24:1177-1199.
2. Eichengreen, Barry, Andrew Rose, and Charles Wyplosz. 1996. "Contagious Currency Crises: First Tests." Scandinavian Journal of Economics 98:463-494.
3. Engle, Robert. 2009. Anticipating Correlations: A New Paradigm for Risk Management. Princeton, NJ: Princeton University Press.
4. King, Mervyn A., and Sushil Wadhwani. 1990. "Transmission of volatility between stock markets." Review of Financial Studies 3:5-33.
5. Pericoli, Marcello, and Massimo Sbracia. 2003. "A Primer on Financial Contagion." Journal of Economic Surveys 17:571-608.