The general purpose of this research project is to develop a unified econometric methodology for modelling, evaluating, and predicting the risk of spillover and contagion between financial markets. This risk is more elevated during financial crises when the dramatic movements in the financial markets of a crisis country, such as large drops in asset prices and increases in market volatility, can propagate to other markets around the world. A leading example of this phenomenon is the 2008 global financial crisis triggered by the bursting of the U.S. housing bubble. The market value of financial securities tied to U.S. real estate prices plummeted, which in turn almost brought down the world's financial system.