F. Allen and D. Gale, Financial Contagion, Journal of Political Economy, vol.108, issue.1, pp.1-33, 2000.
DOI : 10.1086/262109

M. Barigozzi and C. Brownlees, NETS: Network Estimation for Time Series, SSRN Electronic Journal, 2013.
DOI : 10.2139/ssrn.2249909

URL : http://research.barcelonagse.eu/tmp/working_papers/723.pdf

M. Beine and A. Hecq, Inference in Codependence: Some Monte Carlo Results and Applications, Annales d'Economie et de Statistique, pp.69-90, 1999.
DOI : 10.2307/20076179

G. Bekaert, C. Harvey, and A. Ng, Market Integration and Contagion, The Journal of Business, vol.78, issue.1, pp.39-70, 2003.
DOI : 10.1086/426519

URL : http://www.cass.city.ac.uk/emg/workingpapers/mark_int_cont.pdf

M. Billio, M. Getmansky, A. Lo, and L. Pelizzon, Econometric measures of connectedness and systemic risk in the finance and insurance sectors, Journal of Financial Economics, vol.104, issue.3, pp.535-539, 2012.
DOI : 10.1016/j.jfineco.2011.12.010

C. Brownlees, R. Engle, and N. Dp, Volatility, Correlation and Tails for Systemic Risk Measurement, SSRN Electronic Journal, 2012.
DOI : 10.2139/ssrn.1611229

URL : http://www.ucllouvain.be/cps/ucl/doc/stat/documents/Updated_Engle_Paper_230511.pdf

B. Candelon and A. Hecq, Stability of activity-unemployment relationship in a codependent system, Applied Economics Letters, vol.8, issue.10, pp.687-693, 2000.
DOI : 10.1016/S0304-4076(97)00032-8

S. Darolles, P. Gagliardini, C. Gourieroux, and C. Dp, Survivor of Hedge Funds: Frailty vs Contagion, 2013.
DOI : 10.2139/ssrn.2192401

URL : http://www.efmaefm.org/0EFMAMEETINGS/EFMA ANNUAL MEETINGS/2013-Reading/papers/EFMA2013_0087_fullpaper.pdf

S. Degerine, Canonical Partial Autocorrelation Function of a Multivariate Time Series, The Annals of Statistics, vol.18, issue.2, pp.961-971, 1990.
DOI : 10.1214/aos/1176347635

S. Degerine, Sample Partial Autocorrelation Function of a Multivariate Time Series, Journal of Multivariate Analysis, vol.50, issue.2, pp.294-313, 1994.
DOI : 10.1006/jmva.1994.1044

A. L. Delatte, M. Gex, and A. Lopez-villavencio, Has the CDS market influenced the borrowing cost of European countries during the sovereign crisis?, Journal of International Money and Finance, vol.31, issue.3, pp.481-497, 2012.
DOI : 10.1016/j.jimonfin.2011.10.008

URL : https://hal.archives-ouvertes.fr/hal-00714071

F. Diebold and M. Nerlove, The dynamics of exchange rate volatility: A multivariate latent factor ARCH model, Journal of Applied Econometrics, vol.28, issue.1, pp.1-21, 1989.
DOI : 10.1017/S0266466600011397

D. Duffie, A. Eckner, G. Horel, and L. Saita, Frailty Correlated Default, The Journal of Finance, vol.84, issue.5, pp.2089-2123, 2009.
DOI : 10.1016/j.jfineco.2006.06.001

URL : http://www.finance.ox.ac.uk/NR/rdonlyres/CF97FD7F-2BFB-41CE-B99A-FF4DE0DEB9BB/0/DarrellDuffie.pdf

M. Dungey and V. Martin, Equity Transmission Mechanisms from Asia to Australia: Interdependence or Contagion?, Australian Journal of Management, vol.44, issue.1, pp.157-182, 2003.
DOI : 10.1111/j.1540-6261.1989.tb02647.x

M. Dungey, R. Fry, B. Gonzalez-hermosillo, and V. Martin, Empirical modelling of contagion: a review of methodologies, Quantitative Finance, vol.1, issue.1, pp.9-24, 2005.
DOI : 10.1016/S0022-1996(00)00095-7

R. Engle and S. Kozicki, Testing for Common Features, Journal of Business and Economic Statistics, vol.11, pp.369-380, 1993.
DOI : 10.2307/1391623

S. Financial and . Board, Guidance to Assess the Systemic Importance of Financial Institutions, Markets and Instruments, 2009.

R. Fisher, The Distribution of the Partial Correlation Coefficient, Metron, vol.3, pp.329-332, 1924.

R. 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

M. Forni, N. Hallen, M. Lippi, and L. Reichlin, The Generalized Dynamic-Factor Model: Identification and Estimation, Review of Economics and Statistics, vol.65, issue.4, pp.540-554, 2000.
DOI : 10.1007/BF01205493

URL : http://homepages.ulb.ac.be/~lreichli/papers/rev3.pdf

C. Gourieroux and A. Monfort, Time Series and Dynamic Models, p.670, 1997.
DOI : 10.1017/CBO9780511628597

C. Gourieroux, A. Monfort, E. , and R. , Tests sur le noyau, l'image et le rang de la matrice des coefficients d'un mod??le lin??aire multivari??, Annales d'Economie et de Statistique, pp.81-111, 1993.
DOI : 10.2307/20075927

C. Gourieroux and I. Peaucelle, Detecting a Long Run Relationship, Canadian Journal of Economics, 1983.

C. Gourieroux and I. Peaucelle, Series codépendantes : applicationà application`applicationà l'hypothèse de parité du pouvoir d'achat, Macroéconomie, développements récents, pp.285-306, 1993.

N. Hautsch, J. Schaumburg, and M. Schueule, Financial Network Systemic Risk Contributions, pp.2012-053, 2012.
DOI : 10.2139/ssrn.2315826

URL : http://sfb649.wiwi.hu-berlin.de/papers/pdf/SFB649DP2012-053.pdf

M. King and S. Wadhwani, Transmission of Volatility between Stock Markets, Review of Financial Studies, vol.3, issue.1, pp.5-33, 1990.
DOI : 10.1093/rfs/3.1.5

P. Kugler and P. Schwendener, Codependence in a VAR Framework, 1992.

P. Kugler and K. Neusser, International real interest rate equalization. A multivariate time-series approach, Journal of Applied Econometrics, vol.20, issue.2, pp.163-174, 1993.
DOI : 10.1002/jae.3950080205

R. Merton, On the Pricing of Corporate Debt: The Risk Structure of Interest Rates, Journal of Finance, vol.29, pp.449-470, 1974.

R. Muirhead, Aspects of Multivariate Statistical Theory, 1982.
DOI : 10.1002/9780470316559

R. Pindyck and J. Rotemberg, The Excess Co-Movement of Commodity Prices, The Economic Journal, vol.100, issue.403, pp.1173-1189, 1990.
DOI : 10.2307/2233966

R. Pindyck and J. Rotemberg, The Comovement of Stock Prices, The Quarterly Journal of Economics, vol.108, issue.4, pp.1073-1104, 1993.
DOI : 10.2307/2118460

F. Ramsey, Characterization of the Partial Autocorrelation Function, The Annals of Statistics, vol.2, issue.6, pp.1296-1301, 1974.
DOI : 10.1214/aos/1176342881

G. Reinsel, Elements of Multivariate Time Series Analysis, 1993.

G. Tiao and R. Tsay, A Canonical Correlation Approach to Modeling Multivariate Time Series, Proceedings of the Business and Economic Statistic Section of the American Statistical Association, pp.112-120, 1985.

F. Vahid and R. Engle, Codependent cycles, Journal of Econometrics, vol.80, issue.2, pp.199-221, 1997.
DOI : 10.1016/S0304-4076(97)00032-8

P. Velu, G. Reinsel, and D. Wichern, Reduced rank models for multiple time series, Biometrika, vol.73, issue.1, pp.105-118, 1986.
DOI : 10.1093/biomet/73.1.105