We extend the prior literature on market connectedness and spillover by quantifying the size
of return connectedness across markets (assets). Applying the network spillover …

This paper compares the out-of-sample predictive performance of different early warning
models for systemic banking crises using a sample of advanced economies covering the …

This paper suggests a new agenda for constructing early warning models (EWMs) to
enhance their effectiveness in predicting financial crises. The central argument of the new …

We propose a measure of financial market integration based on a factor model of equity
returns computed back to the first era of financial globalization for 17 countries. Global …

In this paper we analyse the impact of instability caused by the Arab Spring on the co-
movements and volatility spillovers of aggregated Financial Stress Indices for eight MENA …

This article systematically reviews the academic literature on emerging market contagion in
order to summarize what we have learnt about the transmission channels existing in these …

We examine the size of contagion (ie, integration and co-movement) of weighted portfolios
on a global level determining whether the amplification of transmission channels among …

This paper analyses the co-movements and contagion between 24 European Union stock
markets. We apply a Dynamic Conditional Correlation-Mixed Data Sampling model to …

This paper examines the causal relationship between developed and emerging market
sentiment. Our analysis also extends to test whether the causality effect between developed …

The paper presents the results of exploring the characteristics of trust cycle in the financial
sector of the economy in general and across its main components (trust in banking and non …