References
- Adkins, L.C. (2014). Using Gretl for Principles of Econometrics. 4th Ed., Version 1.041.
- Bartram, S.M. & Bodnar, G.M. (2009). No Place to Hide: The Global Crisis in Equity Markets in 2008/2009. Journal of International Money and Finance, 28 (8): 1246-1292. DOI: 10.1016/j.jimonfin.2009.08.005.
- Bekaert, G., Harvey, C.R. & Ng, A. (2005). Market Integration and Contagion. Journal of Business, 78 (1): 39-69.
- Bekaert, G., Ehrmann, M., Fratzscher, M. & Mehl, A. (2014). The Global Crisis and Equity Market Contagion. Working Paper No. 1352, DIW Berlin.
- Brière, M., Chapelle, A. & Szafarz, A. (2012). No Contagion, Only Globalization and Flight to Quality. Journal of International Money and Finance, 31 (6): 1729-1744. DOI: 10.1016/j. jimonfin.2012.03.010.
- Brunnermeier, M.K. (2009). Deciphering the Liquidity and Credit Crunch 2007-2008. Journal of Economic Perspectives, 23 (1): 77-100. DOI: 10.1257/jep.23.1.77.
- Calomiris, C.W. (2009). The Subprime Turmoil: What’s Old, what’s New, and what’s Next. Journal of Structured Finance, 15 (1): 6-52. DOI: 10.3905/JSF.2009.15.1.006.
- Calomiris, C.W., Love, I. & Martínez Pería, M.S. (2012). Stock Returns’ Sensitivities to Crisis Shocks: Evidence from Developed and Emerging Markets. Journal of International Money and Finance, 31 (4): 743-765. DOI: 10.1016/j.jimonfin.2012.01.002.
- Chesnay, F. & Jondeau, E. (2001). Does Correlation Between Stock Returns Really Increase During Turbulent Periods? Economic Notes, 30 (1): 53-80. DOI: 10.1111/1468-0300.00047.
- Claessens, S., Dell’Ariccia, G., Igan, D. & Laeven, L. (2010). Cross-country Experience and Policy Implications from the Global Financial Crisis. Economic Policy, 25 (62): 267-293. DOI: 10.1111/j.1468-0327.2010.00244.x.
- Dooley, M. & Hutchison, M. (2009). Transmission of the U.S. Subprime Crisis to Emerging Markets: Evidence on the Decoupling-Recoupling Hypothesis. Journal of International Money and Finance, 28 (8): 1331-1349. DOI: 10.1016/j.jimonfin.2009.08.004.
- Doornik, J.A. & Hansen, H. (2008). An Omnibus Test for Univariate and Multivariate Normality. Oxford Bulletin of Economics and Statistics, 70, Supp. 1: 927-939. DOI: 10.1111/j.1468-0084.2008.00537.x.
- Dungey, M., Fry, R., Gonzales-Hermosillo, B. & Martin, V.L. (2005). Empirical Modeling of Contagion: A Review of Methodologies. Quantitative Finance, 5 (1): 9-24. DOI: 10.1080/14697680500142045.
- Edwards, S. (2000). Contagion. World Economy, 23 (7), 873-900. DOI: 10.1111/1467-9701.00307.
- Fisher, R.A. (1921). On the “Probable Error” of a Coefficient of Correlation Deduced From a Small Sample. Metron, 1: 3-32.
- Forbes, K.J. & Rigobon, R. (2002). No Contagion, Only Interdependence: Measuring Stock Market Comovements. Journal of Finance, 57 (5): 2223-2261. DOI: 10.1111/0022-1082.00494.
- Goetzmann, W.N., Li, L. & Rouwenhorst, K.G. (2005). Long-term Global Market Correlations. Journal of Business, 78 (1): 1-38.
- Hardouvelis, G.A., Malliaropulos, D. & Priestley, R. (2006). EMU and European stock market integration. Journal of Business, 79 (1): 365-392.
- Jennrich, R.I. (1970). An Asymptotic Chi-square Test for the Equality of Two Correlation Matrices. Journal of the American Statistical Association, 65 (330): 904-912. DOI: 10.1080/01621459.1970.10481133.
- Lane, P.R. & Milesi-Ferretti, G.M. (2011). The Cross-Country Incidence of the Global Crisis. IMF Economic Review, 59 (1): 77-110. DOI: 10.1057/imfer.2010.12.
- Larntz, K. & Perlman, M.D. (1985). A Simple Test for the Equality of Correlation Matrices. Technical Report No. 63, Department of Statistics, University of Washington.
- Longin, F. & Solnik, B. (1995). Is the Correlation in International Equity Returns Constant: 1960-1990? Journal of International Money and Finance, 14 (1): 3-26. DOI: 10.1016/0261-5606(94)00001-H.
- Longin, F. & Solnik, B. (2001). Extreme Correlation of International Equity Markets. Journal of Finance, 56 (2): 649-676. DOI: 10.1111/0022-1082.00340.
- Marer, P. (2010). The Global Economic Crises: Impact on Eastern Europe. Acta Oeconomica, 60 (1): 3-33. DOI: 10.1556/AOecon.60.2010.1.2.
- Merler, S. & Pisani-Ferry, J. (2012). Sudden Stops in the Euro Area. Breugel Policy Contribution, 6, March: 1-16.
- Mishkin, F.S. (2011). Over the Cliff: From the Subprime to the Global Financial Crisis. Journal of Economic Perspectives, 25 (1): 49-70. DOI: 10.1257/jep.25.1.49.
- Olbryś J. & Majewska, E. (2013). Granger Causality Analysis of the CEE Stock Markets Including Nonsynchronous Trading Effects. Argumenta Oeconomica, 31: 151-172.
- Olbryś, J. & Majewska, E. (2014a). The 2007-2009 Financial Crisis on Emerging Markets: Quantitative Identification of Crisis in Continent-Based Regions. Chinese Business Review, 13 (7): 411-426. DOI:10.17265/1537-1506/2014.07.001.
- Olbryś, J. & Majewska, E. (2014b). Direct Identification of Crisis Periods on the CEE Stock Markets: The Influence of the 2007 U.S. Subprime Crisis. Procedia Economics and Finance, 14: 461-470. DOI: 10.1016/S2212-5671(14)00735-7.
- Olbryś, J. & Majewska, E. (2014c). Implications of Market Frictions: Serial Correlations in Indexes on the Emerging Stock Markets in Central and Eastern Europe. Operations Research and Decisions, 24 (1): 51-70. DOI: 10.5277/ord140104.
- Olbryś, J. & Majewska, E. (2014d). On Some Empirical Problems in Financial Databases. La Pensee, 76 (9): 2-9.
- Pagan, A.R. & Sossounov, K.A. (2003). A Simple Framework for Analysing Bull and Bear Markets. Journal of Applied Econometrics, 18 (1): 23-46. DOI: 10.1002/jae.664.
- Pericoli, M. & Sbracia, M. (2003). A Primer on Financial Contagion. Journal of Economic Surveys, 17 (4): 571-608. DOI: 10.1111/1467-6419.00205.
- Pisani-Ferry, J. & Sapir, A. (2010). Banking Crisis Management in the EU: An Early Assessment. Economic Policy, 25 (62): 341-373. DOI: 10.1111/j.1468-0327.2010.00243.x.
- Rigobon, R. (2002). Contagion: How to Measure it? In: Preventing Currency Crises in Emerging Markets. Eds. S. Edwards, J.A. Frankel. Chicago: University of Chicago Press.