Multi-feature evaluation of financial contagion.

Financial contagion refers to the spread of market turmoils, for example from one country or index to another country or another index. It is standardly assessed by modelling the evolution of the correlation matrix, for example of returns, usually after removing univariate dynamics with the GARCH model. However, significant events like crises visible in one financial market are usually reflected in other financial markets/countries simultaneously in several dimensions, i.