M. Aitken and R. Winn, What is this thing called liquidity. Securities Industry Research Center of Asia Pacific, 1997.

J. Ammer and F. Cai, Sovereign CDS and bond pricing dynamics in emerging markets: does the cheapest-to-deliver option matter? International Finance Discussion Papers, 2007.

A. Ang and G. Bekaert, International Asset Allocation With Regime Shifts, Review of Financial Studies, vol.15, issue.4, p.1137, 2002.
DOI : 10.1093/rfs/15.4.1137

J. Bai and P. Collin-dufresne, The determinants of the cds-bond basis during the financial crisis of, 2007.

G. Bekaert and C. Harvey, Emerging markets finance, Journal of Empirical Finance, vol.10, issue.1-2, pp.3-56, 2003.
DOI : 10.1016/S0927-5398(02)00054-3

E. Bertero and C. Mayer, Structure and performance: global interdependence of stock markets around the crash of, 1987.

M. Billio and M. Caporin, Multivariate Markov switching dynamic conditional correlation GARCH representations for contagion analysis. Statistical methods and applications, pp.145-161, 2005.
DOI : 10.1007/s10260-005-0108-8

M. Billio, M. Duca, and L. Pelizzon, Contagion Detection with Switching Regime Models: A Short and Long Run Analysis, SSRN Electronic Journal, 2005.
DOI : 10.2139/ssrn.676956

T. Bollerslev, Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model, The Review of Economics and Statistics, vol.72, issue.3, pp.498-505, 1990.
DOI : 10.2307/2109358

B. Boyer, M. Gibson, and M. Loretan, Pitfalls in tests for changes in correlations, Federal Reserve Boars, IFS Discussion Paper No. 597R. Citeseer, 1999.

M. K. Brunnermeier and L. H. Pedersen, Market Liquidity and Funding Liquidity, Review of Financial Studies, vol.22, issue.6, pp.2201-2238, 2009.
DOI : 10.1093/rfs/hhn098

S. Calvo and C. Reinhart, Capital flows to Latin America: Is there evidence of contagion effects? Policy Research Working Paper Series, 1996.
DOI : 10.1596/1813-9450-1619

F. Chesnay and E. Jondeau, Does Correlation Between Stock Returns Really Increase During Turbulent Periods?, Economic Notes, vol.30, issue.1, pp.53-80, 2001.
DOI : 10.1111/1468-0300.00047

T. Chiang, B. Jeon, L. , and H. , Dynamic correlation analysis of financial contagion: Evidence from Asian markets, Journal of International Money and Finance, vol.26, issue.7, pp.1206-1228, 2007.
DOI : 10.1016/j.jimonfin.2007.06.005

M. Choudhry, The credit default swap basis, 2006.
DOI : 10.3905/jsf.2006.614079

A. Dempster, N. Laird, R. , and D. , Maximum likelihood from incomplete data via the em algorithm, Journal of the Royal Statistical Society. Series B (Methodological), pp.1-38, 1977.

D. Duffie, Credit Swap Valuation, Financial Analysts Journal, vol.55, issue.1, pp.73-87, 1999.
DOI : 10.2469/faj.v55.n1.2243

S. Edwards and R. Susmel, Volatility dependence and contagion in emerging equity markets, Journal of Development Economics, vol.66, issue.2, pp.505-532, 2001.
DOI : 10.1016/S0304-3878(01)00172-9

R. Engle, Dynamic Conditional Correlation, Journal of Business & Economic Statistics, vol.20, issue.3, pp.339-350, 2002.
DOI : 10.1198/073500102288618487

A. Fontana and M. Scheicher, An analysis of euro area sovereign CDS and their relation with government bonds, Journal of Banking & Finance, vol.62, 2010.
DOI : 10.1016/j.jbankfin.2015.10.010

K. Forbes and R. Rigobon, Measuring Contagion: Conceptual and Empirical Issues, International financial contagion, pp.43-66, 2001.
DOI : 10.1007/978-1-4757-3314-3_3

K. J. Forbes and R. Rigobon, No Contagion, Only Interdependence: Measuring Stock Market Comovements, The Journal of Finance, vol.108, issue.5, pp.2223-2261, 2002.
DOI : 10.2307/2118460

R. Garcia, Asymptotic Null Distribution of the Likelihood Ratio Test in Markov Switching Models, International Economic Review, vol.39, issue.3, pp.763-788, 1998.
DOI : 10.2307/2527399

N. Garleanu and L. Pedersen, Margin-based asset pricing and deviations from the law of one price, 2009.

D. Giamouridis and I. Vrontos, Hedge fund portfolio construction: A comparison of static and dynamic approaches, Journal of Banking & Finance, vol.31, issue.1, pp.199-217, 2007.
DOI : 10.1016/j.jbankfin.2006.01.002

R. Goyenko, C. Holden, and C. Trzcinka, Do liquidity measures measure liquidity????, Journal of Financial Economics, vol.92, issue.2, pp.153-181, 2009.
DOI : 10.1016/j.jfineco.2008.06.002

D. Gromb and D. Vayanos, Equilibrium and welfare in markets with financially constrained arbitrageurs, Journal of Financial Economics, vol.66, issue.2-3, pp.361-407, 2002.
DOI : 10.1016/S0304-405X(02)00228-3

URL : http://faculty.london.edu/dgromb/Research/EquilibriumandWelfareinMarkets.pdf

Y. Hamao, R. Masulis, and V. Ng, Correlations in Price Changes and Volatility across International Stock Markets, Review of Financial Studies, vol.3, issue.2, p.281, 1990.
DOI : 10.1093/rfs/3.2.281

J. Hasbrouck, Liquidity in the Futures Pits: Inferring Market Dynamics from Incomplete Data, Journal of Financial and Quantitative Analysis, vol.12, issue.02, 2004.
DOI : 10.1016/0304-405X(95)00832-Y

R. Holmes, On Random Correlation Matrices, SIAM Journal on Matrix Analysis and Applications, vol.12, issue.2, p.239, 1991.
DOI : 10.1137/0612019

J. Hull and A. White, Valuing Credit Default Swaps I, The Journal of Derivatives, vol.8, issue.1, pp.29-40, 2000.
DOI : 10.3905/jod.2000.319115

D. Kenourgios, A. Samitas, and N. Paltalidis, Financial crises and stock market contagion in a multivariate time-varying asymmetric framework, Journal of International Financial Markets, Institutions and Money, vol.21, issue.1, 2010.
DOI : 10.1016/j.intfin.2010.08.005

M. King and S. Wadhwani, Transmission of Volatility between Stock Markets, Review of Financial Studies, vol.3, issue.1, p.5, 1990.
DOI : 10.1093/rfs/3.1.5

D. Lesmond, J. Ogden, and C. Trzcinka, A New Estimate of Transaction Costs, Review of Financial Studies, vol.12, issue.5, p.1113, 1999.
DOI : 10.1093/rfs/12.5.1113

A. Levy, The cds bond basis spread in emerging markets: Liquidity and counterparty risk effects, 2009.

D. Mengle, Credit derivatives: An overview, Economic Review, issue.Q4, pp.1-24, 2007.

A. Menkveld and T. Wang, Liquileaks, SSRN Electronic Journal, 2011.
DOI : 10.2139/ssrn.1763417

S. Morris and H. Shin, Coordination risk and the price of debt, European Economic Review, vol.48, issue.1, pp.133-153, 2004.
DOI : 10.1016/S0014-2921(02)00239-8

K. Naoui, N. Liouane, and S. Brahim, A Dynamic Conditional Correlation Analysis of Financial Contagion: The Case of the Subprime Credit Crisis, International Journal of Economics and Finance, vol.2, issue.3, pp.85-96, 2010.
DOI : 10.5539/ijef.v2n3p85

D. Pelletier, Regime switching for dynamic correlations, Journal of Econometrics, vol.131, issue.1-2, pp.445-473, 2006.
DOI : 10.1016/j.jeconom.2005.01.013

URL : http://www4.ncsu.edu/%7Edpellet/papers/dynamic_correlations.pdf

L. Ramchand and R. Susmel, Volatility and cross correlation across major stock markets, Journal of Empirical Finance, vol.5, issue.4, pp.397-416, 1998.
DOI : 10.1016/S0927-5398(98)00003-6

R. Rigobon, A simple test for stability of linear models under heteroskedasticity, omitted variable, and endogenous variable problems, 2000.

R. Rigobon, Contagion: How to Measure It?, 2001.
DOI : 10.3386/w8118

R. Rigobon, Identification Through Heteroskedasticity, Review of Economics and Statistics, vol.79, issue.4, pp.777-792, 2003.
DOI : 10.1016/S0304-4076(01)00051-3

R. Rigobon, On the measurement of the international propagation of shocks: is the transmission stable?, Journal of International Economics, vol.61, issue.2, pp.61261-283, 2003.
DOI : 10.1016/S0022-1996(03)00007-2

R. Roll, A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market, The Journal of Finance, vol.6, issue.4, pp.1127-1139, 1984.
DOI : 10.2307/2325486

K. Wang, N. Thi, and T. , Testing for contagion under asymmetric dynamics: Evidence from the stock markets between US and Taiwan. Physica A: Statistical Mechanics and its Applications, pp.422-432, 2007.
DOI : 10.1016/j.physa.2006.10.084