This paper proposes a new approach to measure financial contagion by focusing on the co-occurrence of extreme returns across countries and regions, rather than traditional correlation-based methods. The authors use a multinomial logistic regression model to analyze the likelihood of extreme returns (exceedances) in different regions, incorporating variables such as exchange rate changes, interest rates, and regional volatility. They find that contagion is more pronounced for negative extreme returns than positive ones, and that regional factors significantly influence the spread of contagion. The study uses daily returns from emerging markets during the 1990s, showing that contagion is predictable and depends on regional interest rates, exchange rate changes, and conditional stock return volatility. The authors also find that contagion is stronger within Latin America than within Asia, and that the U.S. is largely insulated from Asian contagion. The paper highlights the importance of considering extreme value theory and non-linear models in understanding financial contagion, as linear models fail to capture the complex patterns observed in extreme returns. The results suggest that contagion is more significant in emerging markets and that the spread of negative shocks is more likely to trigger widespread financial distress. The study provides a framework for evaluating the impact of financial contagion across regions, emphasizing the role of regional economic factors in the transmission of financial shocks.This paper proposes a new approach to measure financial contagion by focusing on the co-occurrence of extreme returns across countries and regions, rather than traditional correlation-based methods. The authors use a multinomial logistic regression model to analyze the likelihood of extreme returns (exceedances) in different regions, incorporating variables such as exchange rate changes, interest rates, and regional volatility. They find that contagion is more pronounced for negative extreme returns than positive ones, and that regional factors significantly influence the spread of contagion. The study uses daily returns from emerging markets during the 1990s, showing that contagion is predictable and depends on regional interest rates, exchange rate changes, and conditional stock return volatility. The authors also find that contagion is stronger within Latin America than within Asia, and that the U.S. is largely insulated from Asian contagion. The paper highlights the importance of considering extreme value theory and non-linear models in understanding financial contagion, as linear models fail to capture the complex patterns observed in extreme returns. The results suggest that contagion is more significant in emerging markets and that the spread of negative shocks is more likely to trigger widespread financial distress. The study provides a framework for evaluating the impact of financial contagion across regions, emphasizing the role of regional economic factors in the transmission of financial shocks.