- Chang, G. D., & Cheng, P. C. (2016). Evidence of cross-asset contagion in US markets. Economic Modelling, 58, 219-226.
- Cipriani, M., & Guarino, A. (2008). Herd behavior and contagion in financial markets. The BE Journal of Theoretical Economics, 8(1).
- Dornbusch, R., Park, Y. C., & Claessens, S. (2000). Contagion: understanding how it spreads. The World Bank Research Observer, 15(2), 177-197.
- ECB, Financial market contagion, Financial Stability Review, December 2005.
- Forbes, K. J., & Rigobon, R. (2002). No contagion, only interdependence: measuring stock market comovements. The journal of Finance, 57(5), 2223-2261.
- Gai, P., & Kapadia, S. (2010). Contagion in financial networks. Proceedings of the Royal Society A: Mathematical, Physical and Engineering Sciences, 466(2120), 2401-2423.
- Glasserman, P., & Young, H. P. (2015). How likely is contagion in financial networks?. Journal of Banking & Finance, 50, 383-399.
- Glick, R., & Rose, A. K. (1999). Contagion and trade: Why are currency crises regional?. Journal of international Money and Finance, 18(4), 603-617.
- Kaminsky, G. L., & Reinhart, C. M. (2000). On crises, contagion, and confusion. Journal of international Economics, 51(1), 145-168.
- Kelly, Morgan, and Cormac O Grada. "Market Contagion: Evidence from the Panics of 1854 and 1857." American Economic Review, 90 (5): 1110-1124.
- Kodres, L. E., & Pritsker, M. (2002). A rational expectations model of financial contagion. The journal of finance, 57(2), 769-799.
- Kolaczyk, E. D., & Csárdi, G. (2014). Statistical analysis of network data with R (Vol. 65). New York, NY: Springer.
- Longstaff, F.A. (2002), “The flight-to-liquidity premium in US treasury bond prices”, National bureau of economic research.
- Masson, P. (1999). Contagion:: macroeconomic models with multiple equilibria. Journal of International Money and Finance, 18(4), 587-602.
- Nneji, O., Brooks, C., & Ward, C. (2013). Commercial real estate and equity market bubbles: Are they contagious to REITs?. Urban Studies, 50(12), 2496-2516.
- Shive, S. (2010). An epidemic model of investor behavior. Journal of Financial and Quantitative Analysis, 169-198.
- Rösch, C.G. and Kaserer, C. (2013), “Market liquidity in the financial crisis: the role of liquidity commonality and flight-to-quality”, Journal of Banking and Finance, Vol. 37 No. 7, pp. 2284-2302.
- Zhang, W., Zhuang, X., & Lu, Y. (2020). Spatial spillover effects and risk contagion around G20 stock markets based on volatility network. The North American Journal of Economics and Finance, 51, 101064.
- Zhou, Q., Sun, S., & Liu, Q. (2019). The capital flow of stock market studies based on epidemic model with double delays. Physica A: Statistical Mechanics and its Applications, 526, 120733.
- Caporin, M., Gupta, R., & Ravazzolo, F. (2021). Contagion between real estate and financial markets: A Bayesian quantile-on-quantile approach. The North American Journal of Economics and Finance, 55, 101347.
- Fijorek, K., Jurkowska, A., & Jonek-Kowalska, I. Financial contagion between the financial and the mining industries–Empirical evidence based on the symmetric and asymmetric CoVaR approach. Resources Policy, 70, 101965.
- Wang, H., Yuan, Y., Li, Y., & Wang, X. (2020). Financial contagion and contagion channels in the forex market: A new approach via the dynamic mixture copula-extreme value theory. Economic Modelling, 94, 401-414.
- Feng, Y., & Li, X. (2021). The Cross-Shareholding Network and Risk Contagion from Stochastic Shocks: An Investigation Based on China’s Market. Computational Economics, 1-25.
- Dong, Y., Wang, J., & Chen, T. (2019). Price linkage rumors in the stock market and investor risk contagion on bilayer-coupled networks. Complexity, 2019.
- Zhu, Y., Yang, F., & Ye, W. (2018). Financial contagion behavior analysis based on complex network approach. Annals of Operations Research, 268(1), 93-111.
|