Score contribution per author:
α: calibrated so average coauthorship-adjusted count equals average raw count
This study investigates whether contagion occurred during the recent global financial crisis across European and US financial markets. The methodologies used to test for contagion are based on changes in correlation, coskewness, cokurtosis and covolatility. These tests are applied to a set of bank sector CDS, insurance sector CDS, sovereign bonds, equity and volatility indices. The findings indicate significant evidence of contagion, especially through the channels of higher order moments.