Another look at contagion across United States and European financial markets: Evidence from the credit default swaps markets
本文在Apergis等人（2019）研究基础上，提出允许波动率、偏度和峰度时变的多变量稳定分布模型，分析银行和保险部门CDS、主权债券、股票和波动率指数，发现显著的传染效应，尤其是通过共偏度和共峰度渠道。
Abstract The paper looks at the results of Apergis, Christou and Kynigakis (2019) and proposes a novel model that allows time variation in volatility, skewness and kurtosis, based on multivariate stable distributions. The analysis also looks at bank sector CDS, insurance sector CDS, sovereign bonds, equity and volatility indices. The findings corroborate their results and indicate significant evidence of contagion, especially through the channels of co‐skewness and co‐kurtosis. In addition, it establishes a higher order channel of causality between co‐skewness and co‐kurtosis.