Before revision: This paper proposes a model of financial contagion that accounts for explosive, mutually exciting shocks to market volatility. We fit the model using country-level data during the European sovereign debt crisis, which has its roots in the period 2008--2010, and was continuing to affect global markets as of October, 2011.
After revision: This paper proposes a model of financial contagion in European equity markets during the tumultuous period of 2008-2011.