All Outputs (2)

Contagion Testing in Embryonic Markets Under Alternative Stressful US Market Scenarios (2019)
Journal Article
Mahadeo, S. M., Heinlein, R., & Legrenzi, G. D. (2019). Contagion Testing in Embryonic Markets Under Alternative Stressful US Market Scenarios. SSRN, https://doi.org/10.2139/ssrn.3523533

We consolidate alternative ways for identifying stable and stressful scenarios in the S&P 500 market to construct contagion tests for recipient markets vulnerable to disturbances from this source market. The S&P 500 is decomposed into discrete condit... Read More about Contagion Testing in Embryonic Markets Under Alternative Stressful US Market Scenarios.

Energy contagion analysis: a new perspective with application to a small petroleum economy (2019)
Journal Article
Legrenzi. (2019). Energy contagion analysis: a new perspective with application to a small petroleum economy. Energy Economics, 890-903. https://doi.org/10.1016/j.eneco.2019.02.007

We put forward the novel concept of energy contagion, i.e. a deepening of energy-finance linkages under crisis conditions in energy markets. Further, we show how to construct tests for energy contagion through correlation, co-skewness, and co-volatil... Read More about Energy contagion analysis: a new perspective with application to a small petroleum economy.