[1]
|
M. Dabrowski, “The Global Financial Crisis: Lessons for European Integration,” Economic Systems, Vol. 34, No. 1, 2010, pp. 38-54. http://dx.doi.org/10.1016/j.ecosys.2010.01.002
|
[2]
|
P. De Grauwe, “The Financial Crisis and the Future of the Eurozone,” Bruges European Economic Policy Briefings, 2010. http://www.econ.kuleuven.be/ew/academic/intecon/Degrauwe/PDG-Publications_recent.htm
|
[3]
|
D. Gros, “The Euro Sovereign Crisis: The Difficult Transition to Private Sector Involvement,” Intereconomics, Vol. 45, No. 6, 2010, pp. 346-350.
|
[4]
|
D. Lachman, “Europe Fiddles as Its Periphery Burns,” Intereconomics, Vol. 45, No. 6, 2010, pp. 353-356.
|
[5]
|
M. Kumar and A. Persaud, “Pure Contagion and Investor’s Shifting Risk Appetite: Analytical Issues and Empirical Evidence,” International Finance, Vol. 5, No. 3, 2002, pp. 401-436. http://dx.doi.org/10.1111/1468-2362.00102
|
[6]
|
M. Dungey, R. Fry, B. González-Hermosillo and V. Martin, “Characterizing Global Risk Aversion for Emerging Markets During Financial Crises,” IMF Working Paper 03/251, 2003. http://www.imf.org/external/pubs/ft/wp/2003/wp03251.pdf
|
[7]
|
V. Coudert and M. Gex, “Does Risk Aversion Drive Financial Crises? Testing the Predictive Power of Empirical Indicators,” Journal of Empirical Finance, Vol. 15, No. 2, 2008, pp. 167-184. http://dx.doi.org/10.1016/j.jempfin.2007.06.001
|
[8]
|
V. Coudert and M. Gex, “Contagion Inside the Credit Default Swaps Market: The Case of the GM and Ford Crisis in 2005,” Journal of International Financial Markets Institutions and Money, Vol. 20, No. 2, 2010, pp. 109-134. http://dx.doi.org/10.1016/j.intfin.2010.01.001
|
[9]
|
P. Jorion and G. Zhang, “Good and Bad Credit Contagion: Evidence from Credit Default Swaps,” Journal of Financial Economics, Vol. 84, No. 3, 2007, pp. 860-883. http://dx.doi.org/10.1016/j.jfineco.2006.06.001
|
[10]
|
F. Guo, C. R. Chen and Y. S. Huang, “Markets Contagion during Financial Crisis: A Regime-Switching Approach,” International Review of Economics & Finance, Vol. 20, No. 1, 2011, pp. 95-109. http://dx.doi.org/10.1016/j.iref.2010.07.009
|
[11]
|
M. Dungey, R. Fry, B. González-Hermosillo and V. Martin, “Contagion in International Bond Markets during the Russian and the LTCM Crises,” Journal of Financial Stability, Vol. 2, No. 1, 2006, pp. 1-27. http://dx.doi.org/10.1016/j.jfs.2005.01.001
|
[12]
|
I. Bunda, A. J. Hamann and S. Lall, “Correlations in Emerging Market Bonds: The Role of Local and Global Factors,” Emerging Markets Review, Vol. 10, No. 2, 2009, pp. 67-96. http://dx.doi.org/10.1016/j.ememar.2009.02.003
|
[13]
|
T. Gravelle, M. Kichian and J. Morley, “Detecting Shift-Contagion in Currency and Bond Markets,” Journal of International Economics, Vol. 68, No. 2, 2006, pp. 409-423. http://dx.doi.org/10.1016/j.jinteco.2005.07.005
|
[14]
|
D. Egloff, M. Leippold and P. Vanini, “A Simple Model of Credit Contagion,” Journal of Banking and Finance, Vol. 31, No. 8, 2007, pp. 2475-2492. http://dx.doi.org/10.1016/j.jbankfin.2006.10.023
|
[15]
|
F. A. Longstaff, “The Subprime Credit Crisis and Contagion in Financial Markets,” Journal of Financial Economics, Vol. 97, No. 3, 2010, pp. 436-450. http://dx.doi.org/10.1016/j.jfineco.2010.01.002
|
[16]
|
C. Brune and P. Liu, “The Contagion Effect of Default Risk Insurer Downgrades: The Impact on Insured Municipal Bonds,” Journal of Economics and Business, Vol. 63, No. 5, 2011, pp. 492-502. http://dx.doi.org/10.1016/j.jeconbus.2010.11.003
|
[17]
|
M. H. Pesaran and A. Pick, “Econometric Issues in the Analysis of Contagion,” Journal of Economic Dynamics and Control, Vol. 31, No. 4, 2007, pp. 1245-1277. http://dx.doi.org/10.1016/j.jedc.2006.03.008
|
[18]
|
J. Lee and M. C. Strazicich, “Minimum Lagrange Multiplier Unit Root Test with Two Structural Breaks,” Review of Economics and Statistics, Vol. 85, No. 4, 2003, pp. 1082-1089. http://dx.doi.org/10.1162/003465303772815961
|
[19]
|
J. Lee and M. C. Strazicich, “Minimum LM Unit Root Test with One Structural Break,” Working Paper, Department of Economics, Appalachian State University, 2004 . http://econ.appstate.edu/RePEc/pdf/wp0417.pdf
|
[20]
|
D. A. Dickey and W. A. Fuller, “Distribution of the Estimators for Autoregressive Time Series with a Unit Root,” Journal of the American Statistical Association, Vol. 74, No. 366, 1979, pp. 427-431. http://dx.doi.org/10.2307/2286348
|
[21]
|
J. Lee and M. C. Strazicich, “Minimum LM Unit Root Test with One Structural Break,” Working Paper, Department of Economics, Appalachian State University, 2004. http://econ.appstate.edu/RePEc/pdf/wp0417.pdf
|
[22]
|
P. Perron, “The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis,” Econometrica, Vol. 57, No. 6, 1989, pp. 1361-1401. http://dx.doi.org/10.2307/1913712
|
[23]
|
E. Zivot and D. W. K. Andrews, “Further Evidence on the Great Crash, the Oil Price Shock and the Unit Root Hypothesis,” Journal of Business & Economic Statistics, Vol. 10, No. 3, 1992, pp. 251-270. http://dx.doi.org/10.1080/07350015.1992.10509904
|
[24]
|
P. Perron, “Further Evidence on Breaking Trend Functions in Macroeconomic Variables,” Journal of Econometrics, Vol. 80, No. 2, 1997, pp. 355-385. http://dx.doi.org/10.1016/S0304-4076(97)00049-3
|
[25]
|
T. J. Vogelsang and P. Perron, “Additional Tests for Unit Root Allowing for a Break in the Trend Function at an Unknown Time,” International Economic Review, Vol. 39, No. 4, 1998, pp. 1073-1100. http://dx.doi.org/10.2307/2527353
|
[26]
|
R. L. Lumsdaine and D. Papell, “Multiple Trend Breaks and the Unit-Root Hypothesis,” Review of Economics and Statistics, Vol. 79, No. 2, 1997, pp. 212-218. http://dx.doi.org/10.1162/003465397556791
|
[27]
|
J. Bai and P. Perron, “Estimating and Testing Linear Models with Multiple Structural Changes,” Econometrica, Vol. 66, No. 1, 1998, pp. 47-78. http://dx.doi.org/10.2307/2998540
|
[28]
|
J. Wang and E. Zivot, “A Bayesian Time Series Model of Multiple Structural Changes in Level, Trend, and Variance,” Journal of Business & Economic Statistics, Vol. 18, No. 3, 2000, pp. 374-386. http://dx.doi.org/10.1080/07350015.2000.10524878
|
[29]
|
J. Bai and P. Perron, “Computation and Analysis of MultipleStructural Change Models,” Journal of Applied Econometrics, Vol. 18, No. 1, 2003, pp. 1-22. http://dx.doi.org/10.1002/jae.659
|
[30]
|
T. CogleyandT. J. Sargent, “Drifts and Volatilities: Monetary Policies and Outcomes in the Post WWII US,” Review of Economic Dynamics, Vol. 8, No. 2, 2005, pp. 262-302. http://dx.doi.org/10.1016/j.red.2004.10.009
|
[31]
|
T. Bollerslev, “Generalized Autoregressive Conditional Heteroscedasticity,” Journal of Econometrics, Vol. 31, No. 3, 1986, pp. 307-327. http://dx.doi.org/10.1016/0304-4076(86)90063-1
|
[32]
|
C. Gouriéroux and A. Monfort, “Simulation-Based Econometric Methods,” 1st Edition, Oxford University Press, New York, 1996.
|
[33]
|
R. Liesenfeld and J.-F. Richard, “Univariate and Multivariate Stochastic Volatility Models: Estimation and Diagnostics,” Journal of Empirical Finance, Vol. 10, No. 4, 2003, pp. 505-531. http://dx.doi.org/10.1016/S0927-5398(02)00072-5
|
[34]
|
L. Bauwens and N. Hautsch, “Stochastic Conditional Intensity Processes,” Journal of Financial Econometrics, Vol. 4, No. 3, 2006, pp. 450-493. http://dx.doi.org/10.1093/jjfinec/nbj013
|
[35]
|
S. Blazsek and A. Escribano, “Knowledge Spillovers in U.S. Patents: A Dynamic Patent Intensity Model with Secret Common Innovation Factors,” Journal of Econometrics, Vol. 159, No. 1, 2010, pp. 14-32. http://dx.doi.org/10.1016/j.jeconom.2010.04.004
|
[36]
|
G. Ljung and G. Box, “On a Measure of Lack of Fit in Time-Series Models,” Biometrika, Vol. 65, No. 2, 1978, pp. 297-303. http://dx.doi.org/10.1093/biomet/65.2.297
|