Nicolas Serratrice

Aurelie Cubizolle

Sandy Ibanes

Nadine Mestre-Francés

Neus Bayo-Puxan

Sophie Creyssels

Aurelie Gennetier

Jean-Michel Verdier

Mark E Haskins

Nadine Mestre- Francés

Florence Bernex

Guilhem Couderc

Francois Malecaze

Vasiliki Kalatzis

Eric J Kremer
email: eric.kremer@igmm.cnrs.fr

Corrective GUSB

Keywords: Tissue engineering, Cornea, Keratocytes, Mucopolysaccharidosis, Lysosomal storage disorders, β-Glucuronidase, Clouding, Primates

Introduction

The cornea is the transparent avascular tissue at the most anterior surface of the primate eye. It is mainly composed of an external stratified epithelium, an endothelium made up of a cuboidal monolayer of epithelial-like cells, and a thick collagenous stroma separating the two. The stroma is primarily composed of extracellular matrix that makes up 90% of its thickness. The predominant stromal cell type is the keratocyte, a specialized fibroblast that plays a role in general repair and maintenance. In a number of diseases, including lysosomal storage diseases (LSDs) [START_REF] Mehta | Lysosomal storage disorders[END_REF], corneal clouding perturbs visual acuity [START_REF] Bergwerk | Corneal transplantation in a patient with mucopolysaccharidosis type VII (Sly disease)[END_REF]. Among the approximately 60 LSDs, 11 mucopolysaccharidoses (MPSs) are caused by accumulation of glycosaminoglycans (GAGs) due to deficient lysosomal enzyme activity [START_REF] Muenzer | Overview of the mucopolysaccharidoses[END_REF]. Among MPS diseases, MPS VII is an autosomal recessive disorder caused by deficiency in the enzymatic activity of β-glucuronidase (β-glu), a 300-kDa tetrameric hydrolase found in all mammalian cells, except red blood cells. Impaired β-glu activity results in partial degradation of the GAGs chondroitin sulfate, dermatan sulfate, heparan sulfate, and secondary accumulation of gangliosides (GM2 and GM3). Enlarged storage vesicles (lysosomes) are associated with corneal, hepatic, cardiovascular, respiratory, skeletal, and CNS lesions.

Current therapies for some MPS diseases include bone marrow transplantation and enzyme replacement therapy (ERT). The efficacy of these approaches relies on the uptake of secreted enzyme via mannose-6-phosphate receptor for delivery to lysosomes, a pathway dubbed cross correction [START_REF] Neufeld | From serendipity to therapy[END_REF]. Likely because the cornea is avascular, ERT does not prevent corneal clouding. Corneal transplantation has also been tried in MPS VII, but has not stopped recurring disease [START_REF] Bergwerk | Corneal transplantation in a patient with mucopolysaccharidosis type VII (Sly disease)[END_REF]. Gene transfer offers substantial potential to understand, prevent and treat diseases, yet this strategy also has unique clinical obstacles -in particular the need to assess vector efficacy and safety in healthy and diseased animals. Each viral vector has advantages and drawbacks such as cloning capacity, memory or induced immunity, toxicity, specificity, safety, titer, or efficacy [START_REF] Kremer | Gene transfer to the central nervous system: current state of the art of the viral vectors[END_REF]. Gene transfer for LSDassociated corneal clouding has been tested in mice [START_REF] Kamata | Adenovirus-mediated gene therapy for corneal clouding in mice with mucopolysaccharidosis type VII[END_REF] using adenoviruses (Ad), but has not been directly tested in the ~50-fold larger canine or human MPS VII cornea. We previously showed that when canine adenovirus type 2 (CAV-2) vector transduced post-mitotic neurons they could express a transgene for at least 1 year in vivo [START_REF] Hnasko | Cre recombinase-mediated restoration of nigrostriatal dopamine in dopamine-deficient mice reverses hypophagia and bradykinesia[END_REF][START_REF] Soudais | Long-term in vivo transduction of neurons throughout the rat CNS using novel helper-dependent CAV-2 vectors[END_REF]. Combining these characteristics with a 30-kb cloning capacity [START_REF] Soudais | Long-term in vivo transduction of neurons throughout the rat CNS using novel helper-dependent CAV-2 vectors[END_REF], the paucity of cross-reacting human humoral and cellular immunity [START_REF] Perreau | Frequency, proliferation, and activation of human memory T cells induced by a nonhuman adenovirus[END_REF][START_REF] Perreau | Interactions between human plasma components and a xenogenic adenovirus vector: reduced immunogenicity during gene transfer[END_REF], and the inability to induce dendritic cell maturation [START_REF] Perreau | Contrasting effects of human, canine, and hybrid adenovirus vectors on the phenotypical and functional maturation of human dendritic cells: implications for clinical efficacy[END_REF], makes helper-dependent (HD) CAV-2 vectors powerful tools for clinical gene transfer to post-mitotic cells.

In this study, we compared transduction efficacy of CAV-2 and human Ad type 5 (HAd5) vectors in vivo in healthy mouse and nonhuman primate corneas, and ex vivo in healthy human and canine corneal explants by intrastromal injection. We then tested the potential of HD CAV-2 vectors for corneal therapy in MPS VII dog cornea. We found that CAV-2 vectors efficiently transduced keratocytes throughout the stroma via a single injection. Moreover, a helper-dependent (HD) CAV-2 vector harboring a human β-glu expression cassette (HD-RIGIE) corrected the pathology of the canine MPS VII cornea explants. Yet, this correction will be dependent on β-glu diffusion in the thick collagenous stroma. These encouraging data support the continued evaluation of HD CAV-2 vectors to treat corneal disease associated with MPS VII and possibly other LSDs.

Materials & methods

Cornea collection and organ culture

Human cornea explants were provided by the CHU of Montpellier Tissue Bank as part as the CHU de Montpellier Biobank, and used as conformed to French legislation. Explants were from deceased donors and not usable for grafts due to endothelial density. Cornea explants were also from healthy and MPS VII dogs [START_REF] Schuchman | Characterization of the defective betaglucuronidase activity in canine mucopolysaccharidosis type VII[END_REF]. In vivo injections were in ~2month old C57BL/6 mice (Charles River Laboratories), and ~6-month old gray mouse lemurs (GML, or Microcebus murinus), a nonhuman primate that can be readily bred in captivity. Human explants, healthy dogs, mice and GML did not have ocular disease, wounds or infections. Canine MPS VII cornea had mild clouding. Animal care and experiments conformed to European Council Directive 2010/63/EU, and French legislation. The protocols were approved by the Languedoc-Roussillon ethics committee (CEEA-LR1013). Mice, GML and dogs' corneas were cultured in DMEM supplemented with 5% FBS and antibiotics at 32 °C. Human explants were cultured in CorneaMax (EuroBio) at 31 ± 1 °C.

Recombinant adenovirus vectors

CAVGFP and AdRFP vectors derived from CAV-2 and HAd5, have been previously described [START_REF] Kremer | Gene transfer to the central nervous system: current state of the art of the viral vectors[END_REF][START_REF] Kremer | Canine adenovirus vectors: an alternative for adenovirus-mediated gene transfer[END_REF]. CAVGFP contains aCMV-driven GFP expression cassette and AdRFP contains a CMV-driven DSRed II expression cassette. Minimum titers were 1 × 10 12 physical particles (pp)/ml. Two helper-dependent (HD) CAV-2 (HD CAV-2) vector expressing GFP (HD-GFP) [START_REF] Soudais | Long-term in vivo transduction of neurons throughout the rat CNS using novel helper-dependent CAV-2 vectors[END_REF] and β-glucuronidase and GFP (HD-RIGIE) [START_REF] Cubizolle | Corrective GUSB transfer to the canine mucopolysaccharidosis VII brain[END_REF][START_REF] Ariza | Central nervous system delivery of helper-dependent canine adenovirus corrects neuropathology and behavior in mucopolysaccharidosis type VII mice[END_REF] were used. HD-RIGIE production and quality controls were performed as described [START_REF] Soudais | Long-term in vivo transduction of neurons throughout the rat CNS using novel helper-dependent CAV-2 vectors[END_REF]. The titers for HD-GFP and HD-RIGIE were 3 × 10 11 pp/ml and 1.3 × 10 12 pp/ml, respectively.

Production of HcivD-RIGIE and HD-GFP vectors-HD-RIGIE

expressed the human GUSB cDNA and GFP under the control of a Rous sarcoma virus promoter. The RIGIE cassette (RSV-IVS-GUSB-IRES-EGFP) was constructed using classic molecular biology techniques. The human GUSB cDNA was a gift from William Sly, University of St. Louis. AscI/NotI-digested pHD-RIGIE or pHD-GFP was transfected into 5 × 10 6 DKZeo cells using 18 μl of Turbofect (Fermentas) for 10 μg of linearized DNA/10 cm plate. The cells were infected with 100 pp of helper vector/cell. GFP + cells were collected by flow cytometry 24 h post-transfection, re-plated, and lysed by three freeze/thaw cycles 20 h later.

Cells were sorted after transfection until ≥2 × 10 6 of GFP + cells were isolated. The cleared lysates were then incubated on a fresh monolayer of DKZeo cells using helper vector JBΔ5. Twenty-four hours postinfection, GFP + cells were sorted by flow cytometry, re-plated, and lysed by three freeze/thaw cycles 20 h later. The cleared lysate was used for amplification until 3 × 10 7 GFP + cells were obtained. At each amplification step, DKZeo cells were coinfected with 100 pp/cell of helper vector. The last amplification was performed using ~8 × 10 8 DKCre cells without adding helper vector. JBΔ5 contains a loxP-flanked packaging domains and a RSV-lacZ expression cassette [START_REF] Soudais | Long-term in vivo transduction of neurons throughout the rat CNS using novel helper-dependent CAV-2 vectors[END_REF][START_REF] Soudais | Characterization of cis-acting sequences involved in canine adenovirus packaging[END_REF]. When propagated in DKCre cells, a ~900 bp fragment containing the packaging domain and part of the RSV promoter was excised (floxed), and the resulting 32.3 kb vector was rendered packaging-deficient [START_REF] Soudais | Long-term in vivo transduction of neurons throughout the rat CNS using novel helper-dependent CAV-2 vectors[END_REF]. The helper vector retained a minimal part of the RSV promoter, which promoted lacZ expression. To test the level of helper contamination in helper-dependent vector preparations, β-galactosidase activity was assayed by X-gal staining. HD-RIGIE and HD-GFP were purified by triple banding on CsCl density gradients: an initial step gradient of 1.25 g/ml and 1.45 g/ml, and then two self-forming isopycnic gradients using 1.32 g/ml CsCl as previously described [START_REF] Soudais | Long-term in vivo transduction of neurons throughout the rat CNS using novel helper-dependent CAV-2 vectors[END_REF]. The purified stock was stored at -80 °C in PBS/10% glycerol.

Intrastromal injections

2.3.1. Mouse and GML corneas-General anesthesia was induced with xylazine/ ketamine mix (0.01 ml/kg, intraperitoneal) for mice and with Imalgene 500 (0.01 ml/kg, intraperitoneal) for GML. Local anesthesia using 1% tetracaine (Faure, collyre) was used before injections. In each animal, one eye was injected, and the other used as control. When needed, corneas were also humidified with a sponge during the procedure. Injections were performed using a surgical microscope with a 33-gauge needle (Hamilton Co) attached to a 10-μl syringe. A small tunnel was created using a microsurgery blade across the epithelium at the pericentral zone (beginning of the thickest part of the cornea) in mice and at the limbus in GML. This tunnel was used to tangentially introduce the needle into the stroma. The volume injected was 20 μl in mouse, 30 μl in GML and 200 μl in human and dog corneas. 1 × 10 9 pp of vector was injected into the stroma of mice and GML. 5 × 10 9 pp of each vector was injected in dog and human corneal explants. Vector dilutions were in PBS. For the in vivo injections, no animals died prematurely and edema spontaneously reversed.

Imagery

For in vivo imaging, the animals were maintained under isoflurane/oxygen mask during corneal examination. A modified M2BIO stereomicroscope combining a stereo-zoom with long distance macro-objectives (1 to 2.5×) and a mono-objective (20×) permitted a magnification of 15 to 1200× with a large working distance (1.2 to 2 cm). The microscope contained an epifluorescence system (GFP filters), and an X/Y/Z motorized platform, and acquisition performed with a CCD (charged-coupled device) camera (Hamamatsu).

Cornea preparation for confocal microscopy and histology

Corneal explants were fixed in 4% paraformaldehyde overnight, transferred to 30% sucrose/PBS solution overnight and embedded in OCT compound (Tissue-Tek, Sakura).

Ten-micron-thick transversal frozen sections were cut with a cryo-microtome. Sections were stained with 1 μg/ml bis-benzimide Hoechst (Sigma-Aldrich) and mounted with Vectashield (DAKO). For the immunofluorescence CD34 staining, sections were thawed for 15 min at room temperature, washed in PBS for 15 min to remove OCT, permeabilized (0.1% Triton) for 15 min at room temperature and blocked in 2.5% horse serum/0.5% BSA/0.1% Triton for 30 min. Primary antibodies were incubated on sections overnight at 4 °C, and the secondary antibody incubated 90 min, at room temperature prior to Hoechst labeling and mounting. For the human corneas, the primary antibody used was 1:100 mouse anti-human CD34 (clone B1-3C5; AbCam, Cambridge, UK) and the secondary antibody 1:500 goat anti-mouse IgG-Alexa546 (Molecular probes, Invitrogen). For the dog corneas, the primary antibody used was 1:100 mouse anti-dog CD34-PE (clone 1H6, eBioscience) and the secondary antibody 1:500 goat anti-mouse IgG-Alexa Fluor 546 (Molecular probes, Invitrogen). Observations and acquisitions were performed with either a Zeiss LSM510 or a LEICA SP5 laser scanning confocal microscope. Image analyses were performed using MetaMorph software.

Transmission electron microscopy (TEM)

Corneas were immersed in a solution of 2.5% glutaraldehyde in Sorensen's buffer (0.1 M, pH 7.4) overnight at 4 °C, rinsed in Sorensen's buffer, and post-fixed in a 0.5% osmic acid for 2 h at room temperature. After two rinses in Sorensen's buffer, the corneas were dehydrated in a graded series of ethanol solutions (30-100%). The corneas were embedded in EmBed 812 using an automated microwave tissue processor for EM, Leica EM AMW. Thin sections (70 nm; Leica-Reichert Ultracut E) were collected at different levels of each block. These sections were counterstained with uranyl acetate and observed using a Hitachi 7100 transmission electron microscope.

Quantitative and histological analysis of β-glu activity

β-Glu activity in whole corneas was determined using a fluorometric assay as described previously [START_REF] Sly | Beta glucuronidase deficiency: report of clinical, radiologic, and biochemical features of a new mucopolysaccharidosis[END_REF]. Briefly, corneas were homogenized in RIPA buffer (20 mM Tris pH 7.5, 150 mM NaCl, 1% NP40, 0.5% sodium deoxycholate, 0.1% SDS) and centrifuged at 11,600 g for 5 min to remove debris. β-Glu activity was measured using 4-methyl-umberyferryl β-D-glucuronide (SIGMA) as substrate. β-Glu activity is expressed in nmol of 4-methylumberyferryl β-D-glucuronide liberated/h/mg total proteins. Histochemical detection of βglu was performed on 10-or 16-μm-thick frozen sections using naphthol-AS-BI-β-Dglucuronide (SIGMA) as substrate overnight. Sections were then mounted in a nonaqueous medium (MOUNTEX medium). Observations and acquisitions were performed with a NanoZoomer (Hamamatsu, Japan).

Histological analysis of GAG storage-Sections

were thawed for 15 min at room temperature, washed in distilled H 2 O for 10 min and immersed in toluidine blue (0.5% toluidine blue + 1% Borax) for 30 min at room temperature. Sections were washed in distilled H 2 O for 30 s and dehydrated in 95% ethanol for 3 min, in 100% ethanol for 3 min and in xylene for 5 min. Sections were dried at room temperature and mounted in a nonaqueous medium (MOUNTEX medium). Observations and acquisitions were performed with a NanoZoomer.

Results

CAV-2 vectors efficiently transduced mouse, gray mouse lemur, and human corneal keratocytes

Translational medicine, including gene transfer, has often been tested in laboratory rodents prior to studies in more challenging animals or progression to clinical use. Mice have historically been used as preclinical models for gene transfer and may faithfully mimic vector tropism in humans. However, the conclusions garnered from many studies have shown that the clinical relevance can be problematic. Therefore, we compared the efficacy of CAV-2 vector transduction of keratocytes in the cornea of four species, including humans. We previously showed that CAV-2 and HAd5 vector efficacy in murine cornea was feasible (see supplementary data in [START_REF] Hippert | Corneal transduction by intra-stromal injection of AAV vectors in vivo in the mouse and ex vivo in human explants[END_REF]). To compare under optimal conditions, we coinjected CAVGFP [START_REF] Kremer | Canine adenovirus vectors: an alternative for adenovirus-mediated gene transfer[END_REF], a CAV-2 vector expressing GFP, and AdRFP [START_REF] Kremer | Gene transfer to the central nervous system: current state of the art of the viral vectors[END_REF], a HAd5 vector expressing DsRed II in the mouse stroma. Forty-eight hours postinjection, in vivo imaging using stereomicroscopy permitted real time evaluation of GFP expression (Fig. 1A). GFP expression was detected in all mice and generally throughout the corneas. Corneas were then removed, fixed, embedded, sectioned and analyzed by confocal microscopy. Consistent with the in vivo images, sagittal sections of mouse corneas showed GFP + cells throughout the stroma (Fig. 1B). The efficacy of the CAV-2 and HAd5 vectors was comparable: the number of cells expressing GFP and DsRed was similar in most areas. GFP + , DsRed + , and GFP + /DsRed + cells (Fig. 1C-E) were detected, consistent with an overlapping tropism between the vectors.

CAV-2 and HAd5 vector efficacy was compared in vivo in the corneas of gray mouse lemurs (GML) by co-injecting CAVGFP and AdRFP. As with the mouse injections, a transient edema of the cornea occurred, but the integrity and transparency of the structure returned to normal the following day. As with the mice, real-time in vivo imaging suggested widespread GFP expression throughout the stroma in the GML (Fig. 1F). As above, corneas were removed and analyzed by confocal microscopy. Consistent with the in vivo images, sagittal sections of GML corneas showed GFP + cells throughout the stroma (Fig. 1G). CAV-2 and HAd5 vector efficacy was similar in most areas. GFP + , DsRed + , and GFP + / DsRed + (Fig. 1H-J) cells were detected.

Intrastromal injections of CAVGFP and AdRFP in human explants led to transduced cells from the central to the limbal zone of the cornea (Fig. 1K &L). In contrast to the in vivo results with mice and GML, very few DSRed + cells were detected at this dose (5 × 10 9 pp, n = 3), while CAVGFP was efficient (Fig. 1M-O). The cell morphology, the location, and the abundance suggested CAV-2 vectors were transducing keratocytes. To address this using a histological approach, we stained for CD34 expression, a marker of keratocytes in some species [START_REF] Sosnova | CD34+ corneal stromal cells are bone marrow-derived and express hemopoietic stem cell markers[END_REF]. We found that CAV-2 vector preferentially transduced CD34 + cells and, therefore, keratocytes (Fig. 1P-R). As we previously proposed [START_REF] Soudais | Canine adenovirus type 2 attachment and internalization: coxsackievirus-adenovirus receptor, alternative receptors, and an RGD-independent pathway[END_REF] that CAV-2 vector transduction was dependent on the expression of the coxsackievirus and adenovirus receptor (CAR) [START_REF] Bergelson | Isolation of a common receptor for Coxsackie B viruses and adenoviruses 2 and 5[END_REF][START_REF] Tomko | HCAR and MCAR: the human and mouse cellular receptors for subgroup C adenoviruses and group B cocksakieviruses[END_REF][START_REF] Zhang | Adenovirus receptors[END_REF], we asked if CD34 + keratocytes also expressed CAR. Sagittal sections of human cornea were stained with anti-CAR and anti-CD34 antibodies. Consistent with CAV-2 vector transduction, CD34 + cells were also CAR + (Fig. 1S-U).

HD-RIGIE preferentially transduced keratocytes in healthy & MPS VII dog cornea

Corneal clouding is associated with most mucopolysaccharidoses [START_REF] Neufeld | Lysosomal storage diseases[END_REF], including MPS VII. Studies using the murine MPS VII cornea have suggested that gene transfer could reverse some of the histological anomalies, in particular GAG storage [START_REF] Kamata | Adenovirus-mediated gene therapy for corneal clouding in mice with mucopolysaccharidosis type VII[END_REF]. However, large, longlived animals with similar diseases may be more predictive of clinical efficacy. CAV-2 and HAd5 vector efficacy was compared in the canine cornea, which also has a size more closely resembling that of the human cornea. Whole explant imaging suggested that CAV-2 vector efficiently transduced cells throughout the canine cornea (Fig. 2A). Analyses of sagittal sections of the injected canine corneas were also consistent with efficient CAV-2mediated gene transfer (Fig. 2B). Consistent with previous results in the mouse and GML corneas, CAV-2 efficacy (GFP + cells) was similar to that of HAd5 (DsRed + cells) (Fig. 2C-E).

We then asked if a CAV-2 vector could efficiently transduce and correct diseased cornea. To address this we created HD-RIGIE, an HD CAV-2 vector harboring the cDNA of human GUSB (hGUSB), an IRES and GFP (Fig. 2F). HD-RIGIE allowed the identification of transduced cells via GFP expression and the biodistribution of β-glu enzymatic activity. In contrast to GFP, β-glu can be released from cells and internalized by neighboring cells via the mannose 6-phosphate receptor. When HD-RIGIE was injected into healthy (Fig. 2G-I) and MPS VII canine corneas (Fig. 2J-L), transduction of CD34 + cells was efficient.

The ability of HD-RIGIE to generate β-glu activity in healthy and MPS VII canine cornea was then tested. Initially, β-glu activity was quantified biochemically using cell lysates (Table 1). In healthy and MPS VII HD-RIGIE-injected corneas, β-glu activity was >10-fold higher compared to noninjected. β-Glu activity can also be detected using a less sensitive in situ colorimetric staining (Fig. 3A-D). Of note, β-glu activity is undetectable even in healthy canine cornea using this approach. However, in vector-injected healthy and MPS VII cornea, β-glu activity was detected throughout most of the stroma (Fig. 3B &D). Notably, in most sections there was a gradient in the colorimetric β-glu staining. This could have been due to low vector diffusion in the thick, collagenous extracellular matrix that makes up 90% of the corneal thickness. This gradient would not have been as obvious in the thinner murine MPS VII cornea [START_REF] Hippert | Corneal transduction by intra-stromal injection of AAV vectors in vivo in the mouse and ex vivo in human explants[END_REF], and therefore accentuate the relevance of the larger diseased cornea. Together, these data are consistent with increased β-glu activity following HD-RIGIE injections.

HD-RIGIE injection reverses GAG accumulation in MPS VII keratocytes

The histological hallmark of MPS VII disease is large non-staining vacuoles that likely contain GAGs. In healthy corneal stroma and epithelium, cells stained with toluidine blue appear solid blue with no prominent intracellular organelles (Fig. 4A-D). In mock-or HD-GFP-injected corneas from MPS VII dogs, non-staining vesicles can be readily detected in the cytoplasm of keratocytes and epithelial cells (Fig. 4E-H). In addition to non-staining vesicles, MPS VII keratocytes were rounder (Fig. 4E &F). At 5 days post-injection of HD-RIGIE in canine MPS VII corneas, the morphology and toluidine blue staining started to resemble keratocytes in healthy dogs (Fig. 4I &K). At 17 days post-injection (Fig. 4J &L), stroma and epithelial cells presented with further improved morphology and reduced vesicles.

A masked histopathologist then graded the histological anomalies in mock-, HD-GFP-, or HD-RIGIE-injected, healthy and MPS VII corneas (Table 2, and in Fig. 4). Globally, mock-, HD-GFP-and HD-RIGIE-injected healthy canine corneas were scored as "0", while mockand HD-GFP-injected MPS VII corneas scored "2-3". The less severe MPS VII pathology in some corneas was due to the relatively young age of some of the dogs when the corneas were collected (4-6 weeks). Nonetheless, HD-RIGIE-injected MPS VII corneas showed a marked improvement in non-staining vesicles and were globally scored "1-2". It is likely that keratocytes that were directly transduced by HD-RIGIE were rapidly corrected because of the amount of β-glu activity/cell. Cells that were not HD-RIGIE-transduced, but took up β-glu secreted from the transduced cells, likely were delayed in reducing the size and number of enlarged vesicles because it took longer for the enzyme to reach the cells.

Several MPS disorders, including MPS VII, may induce upregulation of lysosomal and autophagy-related genes via transcription factor EB (TFEB) master regulation [START_REF] Sardiello | A gene network regulating lysosomal biogenesis and function[END_REF] in some species. To complement the results showing reduced GAG storage in HD-RIGIE-injected corneas, we also assayed for LAMP1 expression, a marker of lysosomes (Fig. 5). Although LAMP1 may be overexpressed in the MPS VII cells via TFEB, the most prominent phenotype is larger LAMP1 + vesicles in MPS VII cells. In healthy keratocytes, LAMP1 expression was faint and in small puncta (Fig. 5A). Throughout the HD-GFP-injected MPS VII cornea, LAMP1 expression was notably more intense and associated with larger structures (Fig. 5B). At 5 days post-HD-RIGIE injections, no notable difference between mock-injected corneas was evident. However, in many areas of "17 day HD-RIGIE-injected corneas", LAMP1 staining more closely resembled the strength and pattern present in healthy corneas (Fig. 5C-D). To provide quantitative data, we measured the integrated intensity of LAMP1 staining/cell (Fig. 5E). We found a significant difference in intensity between healthy, MPS and HD-RIGIE-injected corneas. Combined, these data supported our conclusion that HD-RIGIE corrected the histological hallmarks of MPS VII in dog corneas.

Distended vesicles in MPS diseases are also readily detected by transmission electron microscopy. Therefore corneas were prepared for ultrastructural analyses. In MPS VII keratocytes, large clear vacuoles are readily apparent (Fig. 6A &B) compared to healthy keratocytes (Fig. 6C &D). At 5 and 17 days post-injection of HD-RIGIE in MPS VII cornea, a notable reduction of the size associated with a decrease in the number of clear staining vacuoles was apparent (Fig. 6E &F). Together, these data are consistent with toluidine blue and LAMP1 staining that suggested improvement of MPS VII-associated histological anomalies in keratocytes.

Discussion

The cornea is an ideal target for gene therapy as it is accessible, relatively immune privileged, and easily monitored due to its transparency [START_REF] Mohan | Gene therapy in the cornea: 2005-present[END_REF]. Potential applications are the correction of corneal neovascularisation [START_REF] Lai | Ranibizumab for retinal angiomatous proliferation in neovascular age-related macular degeneration[END_REF][START_REF] Yu | Inhibition of corneal neovascularization by recombinant adenovirus-mediated sFlk-1 expression[END_REF], scarring [START_REF] Saika | Expression of Smad7 in mouse eyes accelerates healing of corneal tissue after exposure to alkali[END_REF][START_REF] Galiacy | Matrix metalloproteinase 14 overexpression reduces corneal scarring[END_REF], and the treatment of certain genetic diseases [START_REF] Williams | Gene therapy for diseases of the cornea -a review[END_REF]. Corneal anomalies in LSDs include corneal clouding, as with MPSs I, III, IV, VI, and VII [START_REF] Williams | Gene therapy for diseases of the cornea -a review[END_REF][START_REF] Alroy | Altered corneal stromal matrix organization is associated with mucopolysaccharidosis I, III and VI[END_REF], or photophobia, as in the case of cystinosis [START_REF] Kalatzis | A temporospatial guide to the ocular anomalies in a cystinosis mouse model[END_REF][START_REF] Nesterova | Nephropathic cystinosis: late complications of a multisystemic disease[END_REF]. While ERT has significantly improved the life of some LSD patients, only palliative therapy is available for the associated corneal clouding. Some MPS diseases have long been considered potential candidates for gene therapy because of the phenomenon of cross correction and the relatively low level (5-10%) of enzymatic activity needed per cell. The minimum activity needed per cell also translates into the potential to transduce a small fraction of cells that will secrete sufficient quantities of enzyme. This threshold appears to be sufficient to reverse or prevent greater lysosome system (GLS) dysfunction [START_REF] Walkley | Pathogenic cascades in lysosomal disease -why so complex?[END_REF], which encompasses recycling, the ubiquitin-proteasome system, all types of autophagy, vesicle biogenesis and turnover, and other pathways.

In this study, we initially assessed the efficacy of CAV-2 vectors for cornea stroma gene transfer in mice, dogs, nonhuman primates and humans. Like HD human Ad vectors [START_REF] Alba | Gutless adenovirus: last-generation adenovirus for gene therapy[END_REF][START_REF] Amalfitano | Separating fact from fiction: assessing the potential of modified adenovirus vectors for use in human gene therapy[END_REF], HD CAV-2 vectors do not contain viral coding regions, which allows a ~30 kb cloning capacity, prolonged transgene expression, and a high safety profile in some tissues [START_REF] Soudais | Long-term in vivo transduction of neurons throughout the rat CNS using novel helper-dependent CAV-2 vectors[END_REF]. Combining these characteristics with the paucity of cross-reacting pre-existing human immunity [START_REF] Perreau | Frequency, proliferation, and activation of human memory T cells induced by a nonhuman adenovirus[END_REF][START_REF] Perreau | Interactions between human plasma components and a xenogenic adenovirus vector: reduced immunogenicity during gene transfer[END_REF], and the inability to induce dendritic cell maturation [START_REF] Perreau | Contrasting effects of human, canine, and hybrid adenovirus vectors on the phenotypical and functional maturation of human dendritic cells: implications for clinical efficacy[END_REF], makes helperdependent (HD) CAV-2 vectors powerful tools for clinical gene transfer to post-mitotic cells. An efficient way to transduce stromal keratocytes is to administer vectors via direct intra-stromal injection. This technique causes a transient separation of the stromal matrix allowing the injected bolus to be distributed throughout the corneal stroma. Without this physical separation it is unlikely that any viral vector would be able to diffuse through the stromal matrix. In this way, widespread transduction of the stroma was achieved, in contrast to topical administration following lamellar keratotomy [START_REF] Kamata | Adenovirus-mediated gene therapy for corneal clouding in mice with mucopolysaccharidosis type VII[END_REF][START_REF] Mohan | Apoptosis, necrosis, proliferation, and myofibroblast generation in the stroma following LASIK and PRK[END_REF] or laser ablation [START_REF] Bemelmans | Efficient lentiviral gene transfer into corneal stroma cells using a femtosecond laser[END_REF] of the epithelium, which result in local transduction. Furthermore, as the stroma is delineated by Bowman's and Descemet's membranes, vector dissemination and transduction of the epithelium or endothelium appeared negligible.

Here, CAV-2 vectors were at least as efficient as the HAd5 vectors in all species tested, in particular in vivo in nonhuman primates and ex vivo in human explants. Previous studies have shown that HAd5 vectors were more efficient than adeno-associated virus (AAV) vectors in mouse corneas over short periods, but integration-defective adenovirus vectors, like those used here, were not as efficient as some AAV serotypes over longer periods [START_REF] Hippert | Corneal transduction by intra-stromal injection of AAV vectors in vivo in the mouse and ex vivo in human explants[END_REF]. Within 24 h following stromal injection, the cornea of mice and GML returned to the preinjected transparent state, likely due to the removal of the injected liquid by the pump activity of the endothelial cells. Underlying this transformation is also the efficient and unique repair mechanism intrinsic to the healthy cornea [START_REF] Fini | How the cornea heals: cornea-specific repair mechanisms affecting surgical outcomes[END_REF], which rapidly restores transparency. However, in MPSs primary accumulation of GAGs and secondary accumulation gangliosides have been linked to numerous complications including chronic inflammation of some tissues. This is relevant when trying to understand the synergy between the chronic inflammation, the mechanical separation of the stroma during injections, and the subsequent activation of the repair mechanism [START_REF] Sindt | Rapid image evaluation system for corneal in vivo confocal microscopy[END_REF]. In 2004, Carlson et al. demonstrated the potential of intrastromal injection by administrating a HAd5 vector containing a transgene under control of the keratocan promoter [START_REF] Carlson | In vivo gene delivery and visualization of corneal stromal cells using an adenoviral vector and keratocyte-specific promoter[END_REF]. Consistent with our previous observations, adenovirus-mediated transduction was throughout the mouse cornea, but peaked after a few days and then declined by 1 week. Although the corneal keratocytes are usually amitotic, they loose their quiescence and differentiate into activated myofibroblasts during repair. Keratocytes immediately adjacent to the lesion begin to undergo apoptosis after injury creating an acellular zone [START_REF] Fini | How the cornea heals: cornea-specific repair mechanisms affecting surgical outcomes[END_REF], and then neighboring keratocytes become activated, divide, and migrate towards the damaged area. This process is consistent with the loss of the episomal vector genomes. Further studies will be necessary to determine if integrating HD CAV-2 vectors can combine their initial transduction efficiency with long-term expression to exploit the corneal repair mechanism and transduction of precursors that reside in the stroma [START_REF] Du | Multipotent stem cells in human corneal stroma[END_REF]. These precursors differentiate into keratocytes and restore transparency upon injection into the scarred corneas of mice [START_REF] Du | Multipotent stem cells in human corneal stroma[END_REF].

To test CAV-2 vector efficacy in a clinically relevant scenario, HD-RIGIE, a helperdependent CAV-2 vector containing a human GUSB-GFP expression cassette, was tested in the canine MPS VII cornea. Likely due to efficient keratocyte transduction, histological correction of GAG storage and cell morphology was found throughout the MPS VII dog cornea. HD-RIGIE efficacy was due to efficient keratocyte transduction, likely via the use of CAR. CAV-2 vectors appear to have a restricted tropism, compared to HAd5, because they may be "CAR-tropic" and CAV-2 vector efficacy in the keratocytes is likely due to their expression of CAR. Moreover, CAV-1 and CAV-2 have a high degree of similarity in the composition of the capsid proteins, in particular the fiber. In non-vaccinated dogs CAV-1associated disease is associated with hepatitis and corneal clouding (commonly referred to as blue eye), consistent with the tropism of canine adenoviruses for keratocytes.

Overexpression of GUSB has previously appeared to be well tolerated in most organs and cell types [START_REF] Vogler | Transgene produces massive overexpression of human beta-glucuronidase in mice, lysosomal storage of enzyme, and straindependent tumors[END_REF]. Based on the relatively low level of β-glu activity found post-HD-RIGIE injection, there is room for increased transcription of the GUSB cassette using a promoter in HD-RIGIE with higher activity in keratocytes. Fusing β-glu to fusing Tat [START_REF] Orii | Defining the pathway for Tat-mediated delivery of beta-glucuronidase in cultured cells and MPS VII mice[END_REF] could also increase the therapeutic efficacy. Another combinatorial approach is to the elimination the dominant negative effect of mutant β-glu expression [START_REF] Tomatsu | Production of MPS VII mouse (Gus(tm(hE540A.mE536A)Sly)) doubly tolerant to human and mouse beta-glucuronidase[END_REF] by incorporating an shRNA or microRNAs that would destroy endogenous GUSB mRNAs. This should lead to β-glu tetramers with higher enzymatic activity.

In this study a gradient of β-glu activity was also detected by in situ colorimetric assays in the stroma. Keratocytes are sandwiched between the collagen lamellae and responsible for the secretion of the unique stromal extracellular matrix. The collagenous lamellae are made up of heterodimeric complexes of types I/IV collagen fibers arranged in bundles and embedded in a hydrated matrix of glycoproteins and proteoglycans. This stromal meshwork and the avascular nature of the cornea are likely part of the reason that secretion and uptake of β-glu by nontransduced cells was not as efficient as in other tissues [START_REF] Wolfe | Gene transfer of low levels of beta-glucuronidase corrects hepatic lysosomal storage in a large animal model of mucopolysaccharidosis VII[END_REF] and why systemic ERT has little effect on corneal clouding. Alroy et al. [START_REF] Alroy | Altered corneal stromal matrix organization is associated with mucopolysaccharidosis I, III and VI[END_REF] characterized MPS I, III, and VI patient corneas and described perturbations that likely influence transparency: the collagen fibrils had an increased mean diameter and altered spacing and irregular packaging. Moreover, the disruption in proteoglycan turnover likely influences collagen fubril size and packaging, which affects transparency. These structural alterations were also similar in MPS I and MPS IV cats. In addition to the disrupted architecture of the collagen fibrils, corneal transparency may be affected by lysosome accumulation [START_REF] Alroy | Altered corneal stromal matrix organization is associated with mucopolysaccharidosis I, III and VI[END_REF]. However, the major cause of corneal opacification appears to be caused by GAG deposits in the stroma, endothelium, and epithelium [START_REF] Ashworth | Mucopolysaccharidoses and the eye[END_REF][START_REF] Ashworth | The ocular features of the mucopolysaccharidoses[END_REF].

Due to its comparable size with humans the MPS VII dog cornea is a pertinent model for gene therapy. Compared to laboratory rodents, gene transfer with vectors derived from CAV-2 in dogs presents an interesting setting because in Europe and North America an attenuated replication-competent CAV-2 strain is used as a vaccine to prevent CAV-1 induced hepatitis. Therefore, CAV-2 is ubiquitous in all kennels. One could eventually use this setting (vectors derived from canine pathogens in the canine eye) to evaluate the risks of using human pathogens as vectors for long-term clinical therapy. A challenge concerning the MPS VII dog is understanding and comparing these results to those found in the MPS VII mouse, and what each can teach us about human pathophysiology. For example, mice often poorly mimic many human disease and immunological characteristics, such as inflammation [START_REF] Seok | Genomic responses in mouse models poorly mimic human inflammatory diseases[END_REF]. Yet, there are too few studies in dogs to conclude that they are better indicators of clinical potential. Importantly though, their size and longevity is a key asset. Intrastromal injections of CAV-2 and HAd5 vectors in vivo in mice, nonhuman primates and ex vivo in human cornea. The transduction efficacy of a CAV-2 vector harboring a GFP cassette (CAVGFP) was compared to a HAd5 vector harboring a DsRed II expression cassette (AdRFP) by co-injections. Both expression cassettes were driven by the CMV early promoter to compare efficacy. A tunnel was created across the epithelium at the limbus and was used to introduce a needle. Mice and GML were injected with 1 × 10 8 pp to 1 × 10 9 pp of each vector in 20 μl or 30 μl of vector, diluted in PBS, respectively.A) In vivo imaging of CAVGFP-injected and anesthetized mice using a modified M2BIO stereomicroscope combining a stereo-zoom with macro-objectives and a 20× mono-objective. The microscope contained a GFP filters and acquisition was with a CCD (charged-coupled device) camera. HD-GFP is a HD CAV-2 vector that contains a CMV early promoter and GFP expression cassette [START_REF] Soudais | Long-term in vivo transduction of neurons throughout the rat CNS using novel helper-dependent CAV-2 vectors[END_REF]. HD-RIGIE contains the Rous sarcoma virus (RSV) promoter, an artificial intron, the human GUSB cDNA, an internal ribosome entry site, GFP gene and a polyA signal. Cloning, production purification and titration were as previously described [START_REF] Soudais | Long-term in vivo transduction of neurons throughout the rat CNS using novel helper-dependent CAV-2 vectors[END_REF]. G-I) CAV-2 vector tropism in the healthy canine stroma. Following CAVGFP injections canine cornea were sectioned and stained with anti-CD34 antibodies to determine if the transduced cells were keratocytes. Merge showing overlap of GFP and CD34 signals. Scale bar = 200 μm, and insert = 20 μm.

Fig. 1 .

 1 Fig. 1.

  The camera was not equipped with a filter to detect DsRed II expression. The small green puncta are GFP positive cells. No GFP signal was detected in the contralateral noninjected eye. Scale bar = 300 μm.B) Hoechst staining of nuclei and a magnification of 5× of a sagittal section allows a global view of GFP expression in the stroma of mice. Scale bar = 50 μm.C-E) Cornea from injected mice were removed, fixed, and cryosectioned. 10-μm-thick sagittal sections were screened for DsRed and GFP expression and the images merged to allow a comparison of transduction efficacy. C & D are ~1.5-micron-thick confocal planes, while E is a ~20-micron-thick confocal stack. Scale bar = 20 μm.F) GML were injected with 1 × 10 8 pp of each vector in 30 μl of vector, diluted in PBS. In vivo imaging of CAVGFP-and AdRFP-injected and anesthetized GML using a stereomicroscope. The small green puncta are GFP positive cells. No GFP signal was detected in the contralateral noninjected eye. Scale bar = 150 μm.G) Hoechst staining of nuclei and a magnification of 5× of a sagittal section allows a global view of GFP expression in the stroma of GML. Scale bar = 50 μm.H-J) Corneas from injected GML were removed, fixed, and cryosectioned. 10-μm-thick sagittal sections were screened for DsRed and GFP expression and the images merged to allow a comparison of transduction efficacy. In vivo imaging of CAVGFP-injected and anesthetized GML using the M2BIO stereomicroscope. The small green puncta are GFP positive cells. No GFP signal was detected in the contralateral noninjected eye. H & I are ~1.5-micron-thick confocal planes, while J is a ~20-micron-thick confocal stack. Scale bar = 20 μm.K) To determine the efficacy of CAVGFP transduction in human cornea we injected 5 × 10 9 pp of CAVGFP diluted in 200 μl of PBS. Scale bar = 250 μm.L) 10× original magnification of human cornea injected with CAVGFP and AdRFP allows a global view of GFP expression. Scale bar = 50 μm.M-O) Human corneas injected with CAVGFP and AdRFP were fixed, cryosectioned, and 40-μm-thick sagittal sections were screened for GFP and DsRed expression. Scale bar = 40 μm.P-R) Sections from CAVGFP-injected cornea were then incubated with an anti-CD34 antibody, to identify keratocytes, and a secondary antibody labeled with Cy5. The images were merged to demonstrate the preferential transduction of keratocytes (arrows). Scale bar = 20 μm.S-U) Anti-CD34 (in red) and anti-CAR (in green) staining of sagittal sections of human corneas. The merge shows the overlap of CAR and CD34 staining (arrows). Isotypic controls for CAR and CD34 staining can be found in Supplemental Fig.S1.

Fig. 2 .

 2 Fig. 2. Intrastromal injections of CAV-2 and HAd5 vectors ex vivo in healthy and MPS VII canine cornea. The transduction efficacy of a CAVGFP was compared to a AdRFP in canine cornea by co-injection. A tunnel across the epithelium at the limbus was used to introduce a 33G Hamilton needle and 1 × 10 9 pp of each vector in 50 μl of vector, diluted in PBS was injected. A) Cornea from healthy dogs injected with CAVGFP and AdRFP. Imaging of CAVGFP-injected using the modified M2BIO stereomicroscope. The small green puncta are GFP positive cells. Scale bar = 500 μm. B) Sagittal section of the canine cornea showing preferential expression of GFP in the stromal cells. Scale bar = 100 μm. C-E) GFP and DsRed expression from the respective vectors and the merge of the two images. Scale bar = 20 μm. F) Schema showing HD-RIGIE cloning approach and GUSB expression cassette.

Fig. 3 .

 3 Fig. 3. In situ β-glu activity following HD-RIGIE injections in the stroma of the canine MPS VII cornea. Mock-injected or HD-RIGIE-injected MPS VII corneas were analyzed for β-glu activity, as detected by the red precipitate, by an in situ colorimetric staining. Corneas were fixed, sectioned and incubated overnight with naphthol-AS-BI-β-D-glucuronide. A) Endogenous β-glu activity in the cornea of healthy dogs is essentially undetectable. Scale bar = 500 μm. B) HD-RIGIE-mediated β-glu activity in the cornea of healthy dogs, Scale bar = 250 μm. C) Endogenous β-glu activity cornea of canine MPS VII dogs: Scale bar = 500 μm. D) HD-RIGIE-mediated β-glu activity in the cornea of canine MPS VII dogs. Scale bar = 250 μm. NB: Inserts show entire sections on the glass slides.

Fig. 4 .

 4 Fig. 4. GAG storage as detected by toluidine blue staining was used to assess MPS VII-related pathology. Mock-injected or HD-RIGIE-injected MPS VII corneas were analyzed for GAG storage as detected by the large nonstaining vacuoles. Corneas were fixed, sectioned and incubated with using toluidine blue. The two columns on the left show the staining in the stroma. The two columns on the right show staining in the epithelium. A-D) Mock-, HD-GFP-, or HD-RIGIE-injected healthy corneas. E-H) Mock-or HD-GFP-injected MPS VII corneas. I-L) HD-RIGIE-injected MPS VII cornea 5 or 17 days post-injection. A masked observer graded the histological anomalies: 0 = no pathology, and 3 = severe pathology. Scale bars: 50 μm and 5 μm in inserts.

Fig. 5 .

 5 Fig. 5.Normalization of LAMP1 intensity and pattern. MPS VII pathology was assessed by expression of LAMP1, a classic marker of lysosomes whose aggregation can be a hallmark of a deregulated GLS. Cryosections were incubated with an anti-LAMP1 antibody, followed by a Cy5-labeled secondary antibody. A) LAMP1 staining in a healthy dog cornea showed faint staining with small puncta. B) LAMP1 staining in an MPS VII dog cornea showed intense staining with large puncta. C & D) LAMP1 staining in an MPS VII dog cornea injected with HDRIGIE and fixed 5 of 17 days post-injection, respectively. Confocal images were acquired using identical settings to faithfully compare LAMP1 intensity. Scale bars: 20 μm and 5 μm in inserts. Nuclei were stained by Hoechst (blue). E) Quantification of LAMP1 staining in healthy, MPS VII and HD-RIGIE-injected MPS VII cornea. The integrated intensity of ≥27 cells/condition was measured using regions of similar size (≥4 cornea were

Fig. 6 .

 6 Fig. 6. Transmission electron microscopy (TEM) to analyze HD-RIGIE treated MPS VII cornea. Corneas were prepared for TEM analyses, embedded, sectioned (70-nm thick), counterstained and observed using a Hitachi 7100 TEM. A & B) Mock-treated MPS VII corneas showing enlarged vacuoles. C & D) Healthy dog cornea mock-treated or injected with HD-RIGIE, respectively. E & F) MPS VII dog cornea injected with HD-RIGIE and fixed 5 or 17 days post-injections. Scale bars = 1 μm.

Table 1 β

 1 -Glu activity in nmol 4-MU/mg protein/h.

	Noninjected PBS	HD-GFP	HD-RIGIE
	Healthy
	4.0 ± 0.2	1.9 ± 0.01 3.2 ± 0.07 54 ± 0.65
	MPS VII
	1.1 ± 0.01	1.3 ± 0.07 2.4 ± 0.07 15 ± 0.28

Table 2

 2 Vesicular storage.Shading corresponds to the level of vesicular storage, with darker shades representing greater GAG accumulation and lighter shaded little or no GAG storage.

		Vesicular storage
	Cornea	Epithelia Stroma
	MPS VII, noninjected	3	3
	MPS VII, PBS	2	2
	MPS VII, HD-GFP	2	2
	MPS VII, 5 d HD-RIGIE	1	2
	MPS VII, 17 d HD-RIGIE	0-1	1-2
	Healthy, noninjected	0	0
	Healthy, HD-GFP	0	0
	Healthy, HD-RIGIE	0	0

J Control Release. Author manuscript; available in PMC 2015 October 28.

Acknowledgments

Funding was provided by the European Commission through the European Community's 7th Framework Program (FP7/2007-2013; grant 222992, BrainCAV), the Region Languedoc Roussillon (ARPE and CTP 115277), the Fondation de France (grant # 2008005416), the Vaincre les Maladies Lysosomales (VML 092020), the Agence National de la Recherche (program Blanc: NT09_558711, E-RARE ANR-09-RARE-01 and MNP: ANR-09-MNPS-019-01), NIH grants P40-OD010939, and DK54481, and the Association Française contre les Myopathies. The sponsors had no role in study design; in the collection, analysis and interpretation of data; in the writing of the report; or in the decision to submit the article for publication. We thank the members of EKL for the constructive comments, Nicolas Builles (Montpellier Tissue Bank), staff from Imagerie du Petit Animal de Montpellier, Centre de Resources en Imagerie Cellulaire de Montpellier, le Réseau d'Histologie Expérimentale de Montpellier, Montpellier RIO Imaging, and IGMM animal house for technical aid and animal care. EJK and VK are Inserm fellows.


Essahbi Essaadi
email: essahbi.essaadi@univ-lyon2.fr

Jamel Jouini
email: jamel.jouini@fsegn.rnu.tn.

Wajih Khallouli

The Asian Crisis Contagion: A Dynamic Correlation Approach Analysis

Keywords: Shift-contagion, time-varying correlation, sequential selection procedure. JEL Classification: C22, G15

In this paper, we are interested in testing for contagion caused by the Thai bath collapse in July 1997. In line with earlier work, shift-contagion is defined as a structural change in the international propagation mechanisms of financial shocks. We adopt the Bai and Perron's (1998) structural break approach to detect the endogenous break points in the pair-wise time-varying correlations between Thailand and seven Asian stock market returns. Our approach allows solving the misspecification problem of crisis window. Our results indicate the existence of shift-contagion in the Asian crisis caused by the crisis in Thailand.

Introduction

The high integration between international financial markets facilitated by the liberalization of capital flows has increased interdependence among the developed economies in the East Asian region. The investigation of interdependence among financial markets has received significant attention in the literature. Indeed, understanding the behavior of international financial markets interdependencies is crucial for making asset allocation and risk management decisions. Assessing changing interdependencies is also important for knowing the nature of financial crises. For example, the experience of recent financial crises suggests that the interdependence among the financial markets during tranquil periods is different from those during crisis periods. Often during financial crises we observe that the interdependence tends to break down. Consequently, we can observe a strong increase in the co-movements (correlations) of the returns between markets. It is argued by some that structural break in the correlations shows that international propagation mechanisms of financial shocks are discontinuous [START_REF] Billio | Contagion and interdependence in stock markets: Have they been misdiagnosed?[END_REF][START_REF] Corsetti | DSGE models of high exchange-rate volatility and low pass-through[END_REF][START_REF] Gravelle | Detecting shift contagion in currency and bond markets[END_REF].

Indeed, this break is owing to financial panics, herding or switches of expectations across multiple equilibria (equilibrium with speculative attacks vs. equilibrium without speculative attacks) [START_REF] Masson | Contagion: macroeconomic models with multiple equilibrium[END_REF].

Although there is no consensus among specialists [START_REF] Favero | Is the international propagation of financial shocks nonlinear? Evidence from the ERM[END_REF], this phenomenon has often been described as contagion [START_REF] Baig | Financial market contagion in the asian crisis[END_REF][START_REF] Forbes | No contagion, only interdependence: Measuring stock market co-movements[END_REF][START_REF] Rigobon | On the measurement of international propagation of shocks: is the transmission stable?[END_REF]. [START_REF] Forbes | Contagion in Latin America: Definition, Measurement, and Policy Implications, Mit-Sloan school of management and NBER[END_REF] refer to crisis-contingent theories and qualified this phenomenon by "shift-contagion". The authors assumed that investors behave differently after a crisis, implying a generation of the news temporary channels of propagation, in addition to the permanents channels which characterize the interdependence between the economies. By contrast, in non-crisis-contingent theories, there is no difference in the transmission mechanisms between both crises and stable periods. In that vein, the shocks are propagated through strong linkages between countries, such as trade links [START_REF] Gerlach | Contagious Speculative Attacks[END_REF][START_REF] Corsetti | Competitive devaluations: a welfare based approach[END_REF], financial links [START_REF] Kaminsky | On crises, contagion and confusion[END_REF][START_REF] Van Rijckeghem | Spillovers through banking centers: a panel data analysis of bank flows[END_REF] or common shock [START_REF] Masson | Contagion: macroeconomic models with multiple equilibrium[END_REF][START_REF] Forbes | Contagion in Latin America: Definition, Measurement, and Policy Implications, Mit-Sloan school of management and NBER[END_REF]. [START_REF] Forbes | No contagion, only interdependence: Measuring stock market co-movements[END_REF] used the term interdependence to refer to this situation.

The objective of this paper is to investigate the presence of shift-contagion in the context of Asia crisis. Our aim is to study the stability of the international propagation of financial shocks across some stocks markets. More specifically, we test for structural break in the correlation of assets returns across countries during periods of high turbulence. In contrast to previous studies on financial contagion, we allow for a time-varying correlation. There are extensive empirically studies on investigating the stability of the international propagation of financial shocks by a correlation analysis. In the empirical literature, the contagion is measured by the significant increase in the correlation between financial markets [START_REF] Forbes | No contagion, only interdependence: Measuring stock market co-movements[END_REF]. The pioneers that used this methodology to test for the presence of the contagion are [START_REF] King | Transmission of volatility between stock markets[END_REF]. They founded that correlation between stocks markets of the United States, United Kingdom and Japan had increased after the U.S. crash of 1987. Other studies applied this test of correlation to other types of financial markets (markets of the sovereign debts, exchanges and the interest rate) and other episodes of crises [START_REF] Calvo | Capital flows to emerging countries: Is there evidence of contagion effects?[END_REF][START_REF] Baig | Financial market contagion in the asian crisis[END_REF].

According to [START_REF] Forbes | No contagion, only interdependence: Measuring stock market co-movements[END_REF], these tests based on cross-market correlations always reach the same conclusion that contagion had occurred. However, tests based on analysis of conditional correlation admit several limits. The use of the high frequency financial series affects the test by three types of bias: heteroskedasticity, simultaneous equations and omitted variables [START_REF] Ronn | The Impact of Large Changes in Asset Prices on Intra-Market Correlations in the Stock and Bond Markets[END_REF][START_REF] Forbes | No contagion, only interdependence: Measuring stock market co-movements[END_REF][START_REF] Rigobon | On the measurement of international propagation of shocks: is the transmission stable?[END_REF][START_REF] Yoon | Correlation Coefficients, Heteroskedasticity and Contagion of Financial Crises[END_REF]. [START_REF] Forbes | No contagion, only interdependence: Measuring stock market co-movements[END_REF] tested the increase in the correlations coefficients adjusted from only heteroskedasticity bias. They didn't detect a structural break. Thus, they concluded that propagation of the Asian crisis results from the interdependence between the financial markets and not from the contagion. Moreover, [START_REF] Forbes | No contagion, only interdependence: Measuring stock market co-movements[END_REF] showed, by simulations, that their tests are biased when the data suffer from simultaneous equations and omitted variable problems. In order to correct these problems, an original methodology to test for structural break in the correlation across financial markets has been proposed by [START_REF] Rigobon | On the measurement of international propagation of shocks: is the transmission stable?[END_REF]. He applies a structural change test (Determinant of the Change in the Covariance matrix test) using a limited information estimation based on an instrumental variable (IV) method which is constructed by splitting the sample into two windows (window of the stability and window of the crisis). [START_REF] Rigobon | On the measurement of international propagation of shocks: is the transmission stable?[END_REF] studies the stability of the international propagation mechanisms between 36 stocks markets during the three recent international financial crises (Mexico 1994, Asia 1997and Russia 1998). Their results showed that the increase in the correlation between these stocks markets does not result from instability in the mechanisms of propagation, but it was rather the consequence of a strong interdependence during the crisis periods as well as during the stability periods. Although the conclusions of [START_REF] Rigobon | On the measurement of international propagation of shocks: is the transmission stable?[END_REF] are interesting, these results have been considered not robust. Indeed, the size of the crisis window has an important influence on the sensitivity of the results [START_REF] Billio | Contagion and interdependence in stock markets: Have they been misdiagnosed?[END_REF][START_REF] Dungey | Testing for contagion using correlation: some words of caution, Pacific Basin Working Paper Series[END_REF].

In order to solve this problem of crisis window definition, [START_REF] Caporale | Testing for contagion: a conditional correlation analysis[END_REF] tested for stability of the propagation mechanisms using an approach based on an estimate with the full sample. They corrected heteroskedasticity assuming that the structural shocks follow a GARCH (1,1) process. Their results suggest the existence of the contagion between the Asian stocks markets. Using the same approach, [START_REF] Mcaleer | Testing for contagion in ASEAN exchange rates[END_REF] verified as well the contagion between the Asian foreign exchange markets. In contrast to [START_REF] Rigobon | On the measurement of international propagation of shocks: is the transmission stable?[END_REF], other studies tested for stability of the propagation mechanisms using the full-information estimation (Favero andGiavazzi, 2000, 2002;[START_REF] Wälti | Testing for contagion in international financial markets: which way to go?[END_REF][START_REF] Bonfiglioli | Explaining co-movements between stock markets: the case of US and Germany[END_REF]. Indeed, [START_REF] Favero | Is the international propagation of financial shocks nonlinear? Evidence from the ERM[END_REF] showed that this approach provides a more powerful test. [START_REF] Wälti | Testing for contagion in international financial markets: which way to go?[END_REF] introduced a proxy variable for the international common shocks (Monsoonal Effect), and founded that the null hypothesis of the stability of propagation mechanisms between the Asian stock markets is largely rejected. [START_REF] Bonfiglioli | Explaining co-movements between stock markets: the case of US and Germany[END_REF] distinguished between long-run and short-run dynamics for interdependence. They verified the instability of the propagation mechanisms between the United States and Germany stock markets using a Vector Error Model Correction (VECM). However, all these studies didn't test for structural change in the correlation across financial markets but tested for nonlinearity of financial interdependence model using dummies variables.

This paper extends this literature by using the recently developed structural change approach of [START_REF] Bai | Estimating and testing linear models with multiple structural changes[END_REF] to investigate the stability of propagation mechanisms in order to detect shift-contagion. Contrary to previous work, we first estimate the interdependence or the co-movements of the returns between financial markets by the timevarying correlation calculated through a crawling window. We proceed by simulation work to determine a necessary window length for the correlation estimation in one regime. We also apply the AR(1)-GARCH (1,1) process to correct the heteroskedasticity bias. Secondly, using the Bai and Perron's (1998) sequential selection procedure based on a structural change test, we endogenously select the periods of low and strong correlations relating to the stability and crisis periods. We apply our methodology to stock markets for South-East Asia countries. We test for structural change of the pair-wise time-varying correlation between Thailand and seven other countries.

The remainder of the paper is organized as follows. Section 2 outlines the methodology for estimating time-varying correlations and reviews the structural break approach of [START_REF] Bai | Estimating and testing linear models with multiple structural changes[END_REF] to test for shift-contagion. Section 3 presents the data and the obtained empirical results. We find strong evidence in favour of break in correlations patterns. Crisis in Thailand had been a significant source of contagion in the Asia crisis. These findings are generally in line with results reported by [START_REF] Mcaleer | Testing for contagion in ASEAN exchange rates[END_REF], and [START_REF] Marias | An empirical study to identify shift contagion during the Asian crisis[END_REF] who used different data samples and methodologies. Section 4 concludes the paper. The results are provided in Appendix 1, and the different graphics in Appendix 2.

Methodology

In this section, we show how constructing the time-varying correlation series and the sequential selection procedure based on a test of structural change to detect shift-contagion.

Time-varying correlation construction

Correlation between countries is dynamic and can decrease for periods and increase for others. Here, we are interesting in the case of increase since contagion has been defined as a significant increase in correlation between two countries. This correlation is calculated from a window judiciously chosen because a too long or too short window affects the power of contagion test as mentioned by [START_REF] Billio | Contagion and interdependence in stock markets: Have they been misdiagnosed?[END_REF]. According to these authors, a too long crisis period includes observations generated by the stability regime and not only by the crisis regime. Thus, the correlation coefficient between the financial markets during the crisis period is a linear combination of the correlations of the various regimes. In this case, the correlations estimated for the periods of stability and crisis are biased. The rejection of the stability hypothesis is less likely. On the other hand, [START_REF] Dungey | Testing for contagion using correlation: some words of caution, Pacific Basin Working Paper Series[END_REF] showed that crisis window containing relatively few observations seriously affects the power of the test. Indeed, they verified that standard error of the correlation coefficient is rapidly increased with decreasing crises sample. Moreover, [START_REF] Gravelle | Detecting shift contagion in currency and bond markets[END_REF] discuss the subjective and arbitrary choice of the structural change points which define the beginning and the end of the crisis window. Indeed, [START_REF] Billio | Contagion and interdependence in stock markets: Have they been misdiagnosed?[END_REF] calculated the correlation coefficient for the Asia crisis period (from June 1997 until February 1998) on the basis of a moving window with a fixed size equal to 20 observations. These authors showed that the results had been significantly influenced by the phase of the window in crisis period.

In this paper, we estimate the correlation by a crawling window. For this purpose, we proceed by a simulation work to determine the needed number of observations to estimate the crawling correlation. Indeed, we simulate two independent series ( ) ( ) ( ) (

t
).

: 1 , : 1 t y t x Corr c t t t = ρ (1)
Note that the correlation between two independent series must be equal to zero but as shown in Figure 1, the correlation converges to zero after some period. We then need to determine the necessary number of observations in order that the correlation converges to zero. For this reason, we use the cumulative correlation series given by equation ( 1). Indeed, we generate two independent series, estimate a cumulative correlation series and repeat this exercise some number of times (Table 1). Through the estimated standard error (σˆ) we define two terminals between them t c ρ is statistically equal to zero (we set 95% as confidence level;

[ ] σ96 , 1 ±
). Then, we calculate for each cumulative correlation serie the number of observations needed to converge to zero. We define the stable period as the minimum number of observations of the cumulative correlation when series is always inside the interval. The stable period is equal to 224 successive observations for 95% of cases. Now, we compute the time-varying correlation through a crawling window with 224 successive observations for each pair-wise series of our data as follows:

( ) ( ) (
). In the next subsection, we present the multiple structural change approach adopted to identify the break dates in the time-varying correlation series t ρ .

Structural Break Approach

We consider the following mean-shift model with m breaks, ( ) . In our empirical computations, we use the efficient algorithm developed in Bai and Perron (2003a), based on the principle of dynamic programming, to estimate the unknown parameters.

m T T ,..., 1 : 1 , t j t u + = µ ρ , ,..., 1 1 j j T T t + = - (3)
To select the number of breaks and their locations, [START_REF] Bai | Estimating and testing linear models with multiple structural changes[END_REF] propose a method based on the sequential application of the following statistic: 3

( ) ( ) ( ) 2 1 1 1 1 1 / ,..., , , ,..., înf min ,..., | 1 sup , σ τ ε τ       - = + - Λ ∈ + ≤ ≤ l i i T l i l T T T T T T S T T S l l F i , (4)
where σ is a consistent estimator of 2 σ under the null hypothesis. 4 The procedure to estimate the number of breaks is the following:

( ) ( ) { } ε τ ε τ ε 1 1 1 , ; - - - - - ≤ ≤ - + = Λ i i i i i i i T T T T T T , ( )
l i i T T T T T S ,
• Start by estimating a model with small number of break dates (or with no break) using the global minimization of the sum of squared residuals. • Perform parameter constancy tests for each subsample (those obtained by cutting off at the estimated break points), adding a break to a subsample associated with a rejection with the test ( )

l l F T | 1 sup + .
• Repeat the process by increasing l sequentially until the test ( )

l l F T | 1 sup + fails to
reject the no additional structural change hypothesis.

The final number of breaks is thus equal to the number of rejections obtained with the parameter constancy tests plus the number of changes used in the initial step. Note that this procedure can directly take into account the effect of possible serial correlation in the errors and heterogeneous variances across regimes. 5 Bai and Perron (2003a, 2006) favour the sequential method based on the ( )

l l F T | 1 sup
+ test which seems to perform better than procedures based on information criteria.

Note that [START_REF] Jouini | Evidence on structural changes in US time series[END_REF] use this selection method to explore the empirical evidence of the instability by uncovering structural breaks in some U.S. time series. To that effect, they pursue a methodology composed of different steps and propose a modelling strategy to implement it. Their results indicate that the time series relations have been altered

by various important facts and international economic events such as the two Oil-Price Shocks and changes in the International Monetary System.

Empirical investigation

In this section, we describe the data used in the investigation and comment the empirical results obtained further to the application of the above structural break approach.

Data

In this paper, we adopt the narrow definition of contagion as Forbes and[START_REF] Forbes | No contagion, only interdependence: Measuring stock market co-movements[END_REF][START_REF] Rigobon | On the measurement of international propagation of shocks: is the transmission stable?[END_REF]. Hence, we define the shift-contagion as the rise in cross-market interdependencies approximated with correlation among assets returns after a shock in one country. The rise in the interdependencies must be associated with a structural break showing the generation of the news transmission mechanisms among countries that don't exist during the tranquil period. Indeed, the news transmission mechanisms reflect the switching in the investors expectations.

To identify the shift-contagion, many works use as an indicator of the international investors behaviours, the foreign exchange markets [START_REF] Auyong | Cointegration and causality in the Asian and emerging foreign exchange markets: Evidence from the 1990s financial crises[END_REF][START_REF] Mcaleer | Testing for contagion in ASEAN exchange rates[END_REF], the interest rates market [START_REF] Baig | Financial market contagion in the asian crisis[END_REF]and Khalid and Kwai, 2003) and the sovereign debt markets (Sander and Kleimer, 2003;[START_REF] Marias | An empirical study to identify shift contagion during the Asian crisis[END_REF]. As [START_REF] Tan | Contagion effects during the Asian financial crisis: Some evidence from stock price data[END_REF], [START_REF] Masih | Are Asian stock market fluctuations due mainly to intraregional contagion effects? Evidence based on Asian emerging stock markets[END_REF], [START_REF] Baur | Testing for contagion-mean and volatility contagion[END_REF][START_REF] Rigobon | On the measurement of international propagation of shocks: is the transmission stable?[END_REF], stock index returns of 8 Asian stock markets are examined in this study: Hong Kong (HK), Indonesia (IND), Korea (KOR), Malaysia (MAL), Philippines (PHIL), Singapore (SIN), Taiwan (TAIW) and Thailand (THAI). To calculate the stock returns, we take the first difference of the logarithm of the daily indices which are denominated in US dollar. We apply an AR(1)-GARCH (1,1) process to control heteroskedasticity for all series. We calculate, thus, the time-varying correlations among different countries using the residual series. The data are sampled over the period from January 2, 1995 to June 30, 1999 (yielding 1173 observations), and obtained from the DataStream database.

Empirical results

In this section, we report the results obtained from the application of the structural change approach on the set pair-wise time-varying correlations between Thailand stock markets and 7

of the stock index returns in South-East Asia outlined above. The results reported in Appendix 1 show many structural changes in the pair-wise time-varying correlations. In general, we identified four regimes corresponding to four sub-periods: a first period that ends on 1996; a pre-crisis or a tranquil period from 1996 to the end of 1997; a crisis period from July 1997, when the Thai bath was devalued, to the end of 1998; and a transition period from 1998 to 1999. The split of the pre-crisis period and the crisis period comes almost naturally. The later split between the crisis period and the transition period can be explained by the effects of two events. Indeed, in August 1998, the crisis of the Russian was realised. It is possibly that this crisis had a direct impact on the international financial markets in reassessing country risk.

Also, in this period, Malaysia decided to adopt capital controls. [START_REF] Sander | Contagion and causality: an empirical investigation of four Asian episodes[END_REF] suppose that both events had differential and possibly disturbing effects.

Note:

In parentheses are reported the correlations before and after the break date.

In table 2, we report the estimated first endogenous break date in the pair-wise time-varying correlations after the devaluation of the Thai bath in July 1997. 6 We considered that only this break date shows the occurrence of Asian contagion. 7 The averages of correlations of both regimes before and after the break date are also reported in this Table . The two regimes represent the tranquil period and the crisis period. As shown in the Table, there is evidence of structural change in the time-varying correlations for all country pairs. These results imply instability of the propagation mechanisms of financial shocks across the Asian countries. On the other hand, for all pairs, the correlation average of the crisis periods is significantly higher than the correlation average of the tranquil period. This result shows that the financial links across the Asian stock markets approximated by the pair-wise time-varying correlations increased during the crisis periods. We interpret this as signals of the existence of shiftcontagion between Asian countries during the crisis of 1997 on the Stock Markets.

The reported results show that contagion started to occur with devaluation of the Thai bath in 2nd July 1997 which deals to a surge in stock market. This Thai shock is transmitted in the Indonesia stock market on July 3, 1997. This corresponds to the first break date of the Asia crisis period. Indeed, [START_REF] Mcaleer | Testing for contagion in ASEAN exchange rates[END_REF] show that Indonesia was a source of contagion of the crisis after being contaminated by Thailand. Note that our approach also detects the 28th October 1997 as the date of the transmission of the Thai shock to Korean stock market. In fact, after this date, the foreign banks operating in Korea started to revoke their short-term and medium-term loans for the reasons of risk management and liquidity (flight-to-quality). This funds withdrawal by the foreign banks caused a crisis of liquidity and a fall of the reserves. The Korean central bank thus lost 15 billion dollars of reserves during November 1997 [START_REF] Park | Financial contagion in the East Asian crisis with special reference to the Republic of Korea[END_REF]. Then, South Korea was hit and floated its currency won on November 17, 1997. Contrary to [START_REF] Forbes | No contagion, only interdependence: Measuring stock market co-movements[END_REF] who consider that Hong Kong stock market crashed in mid-October 1997, our applied procedure suggests that Hong Kong has been affected by the Thai shock in November 1997. In this period, Singapore stock market has also been affected. Then, international investors considered the later shocks as an important signal, which favours the propagation of the crisis to Taiwan on January 1998.

Our results confirm the conclusion of [START_REF] Mcaleer | Testing for contagion in ASEAN exchange rates[END_REF], and [START_REF] Ayadi | La contagion de la crise asiatique : dynamiques de court terme et de long terme[END_REF] for the contamination of Philippines and Malaysia by the Thai crisis. As [START_REF] Wälti | Testing for contagion in international financial markets: which way to go?[END_REF],

we also detect the same dates for the fall in the Philippine and Malaysian stock markets. The two break dates are at the ends of January 1998. However, [START_REF] Wälti | Testing for contagion in international financial markets: which way to go?[END_REF] considers that the origin of contagion is Indonesia and not Thailand. Indeed, on 12th February 1998, the Deputy Managing Director of the IMF announced that Indonesia crisis led to a significant decline in the Philippines and Malaysian stock markets. On the other hand, contrary to Malaysia which reacted by a feedback effect with other countries, [START_REF] Mcaleer | Testing for contagion in ASEAN exchange rates[END_REF] showed that the Philippines were a major recipient of the effect of contagion. Marais and Bates (2005) confirm these conclusions by tests of causality on the spreads. Finally, note that our results

show that the contagion period didn't have a short duration. It varies from July 1997 to January 1998. As McAleer and[START_REF] Mcaleer | Testing for contagion in ASEAN exchange rates[END_REF], we find that the mean contagion period in Asia crises lasted approximately 7 months.

Conclusion

In this paper, we have proposed a methodology to test for instability in the propagation mechanisms of financial shocks across stock market returns of some East Asian countries. We explored whether contagion occurred within the region in the aftermath of the 1997 financial crisis. Following studies such as Forbes and[START_REF] Forbes | No contagion, only interdependence: Measuring stock market co-movements[END_REF][START_REF] Rigobon | On the measurement of international propagation of shocks: is the transmission stable?[END_REF] we have tested whether there was a significant rise in the correlation coefficients among stock markets returns in order to detect the shift-contagion. But, contrary to these works, we have used the time-varying correlation. We have controlled for heteroskedasticity bias by using the AR(1)-GARCH (1,1) process. Our approach does not require splitting the sample to test for shiftcontagion. This allows us to solve the misspecification problem of crisis window. We have also selected endogenously the break dates corresponding to the beginning of contagion using the Bai and Perron's procedure (1998) for structural change.

Our empirical results show structural changes in the links among the Asian studied countries after the devaluation of the Thai bath (July 1997). We also find that all pair-wise correlations between Thailand and other countries increase after the occurring of the crisis in the affected country. This suggests the existence of shift-contagion on stock markets returns during the Asian crisis. On the other hand, our findings are consistent with the chronology of events.

Footnotes

1. We adopt this model since a look at the graphs of the series (Appendix 2) suggests that they are affected by breaks in mean.

2.

From Bai and Perron (2003a), if the estimation is the sole concern for the study, then the minimal number of observations in each regime [ ] T ε can be set to any value greater than 1, the number of regressors.

3. This statistic allows testing the null hypothesis of l breaks against the alternative that an additional break exists.

4.

Note that the asymptotic critical values relating to this test are provided in Bai andPerron (1998, 2003b) for some values of the trimming ε and a maximum possible number of breaks M. In this paper, we have chosen 15 . 0 = ε and 5 = M .

5.

The existence of breaks in the variance could be exploited to increase the precision of the break date estimates (Bai and Perron, 2003a).

6.

The other break dates detected by the above selection procedure are reported in Appendix 1.

7. Note that we have not used a single structural change approach and have adopted the above multiple structural break approach since the former can allow detecting a break date before or after the date of the occurrence of the Asian contagion, which is the interest date in this study, since the time-varying correlation series are characterized by the presence of multiple breaks as shown by the graphs reported in Appendix 2.

Figure 1 .

 1 Figure 1. Cumulative correlation of two random series

.

  The estimation method proposed in[START_REF] Bai | Estimating and testing linear models with multiple structural changes[END_REF] is based on the ordinary least-squares (OLS) principle. It first consists in estimating the regression coefficients j µ by minimizing the sum of squared residuals ε is an arbitrary small positive number and[.] denotes integer part of argument. Thus, the break date estimators are global minimizers of the objective function. Finally, the estimated regression coefficients are such that

  squared residuals resulting from the least-squares estimation from each m-partition ( )

Figure 5 .Figure 6 .Figure 7 .

 567 Figure 5. Time-varying correlation of MAL-THAIL

Table 1 .

 1 Note that the first value of the time-varying correlation is computed between the first 224 observations of the two series and so on. So, time-varying correlation series has (T -224) Simulation results

		ρ	t	=	Corr	x	t	t	-	224	:	t	,	y	t	t	-	224	:	t	(2)
	observations.
	Number of
	simulations	1000			2000					5000					10000
	Mean	-0,0022			-0,0031			-0,00056862		-0,00091205
	Variance	0,0055			0,0055			0,0056				0,0056
	Standard error (σˆ) 0,07416198 0,07416198 0,07483315		0,07483315

Table 2 .

 2 Estimated break dates of the contagion beginning

	HK	IND	COR	MAL	PHIL	SING	TAIW
	THAIL 25/11/97	03/07/97	28/10/97	28/01/98	29/01/98	18/11/97	12/01/98
	(0.087 ;0.221)	(0.119; 0.161)	(-0.017;0.015)	(0.131;0.430)	(-0.059;0.35)	(0.174; 0.285)	(-0.022 ;0.221)

Table 4 .

 4 Break date identification for the pair-wise KOR-THAIL Estimators

		1 T	2 T	3 T
	Break dates	03/10/1996	28/10/1997	15/06/1998
	95% C.I.	30/09/96 :04/10/96 24/10/97 :29/10/97 10/06/98 :16/06/98
		0.0828	-0.0171	0.0156	0.3205
	Standard error	0.0018	0.0019	0.0018	0.0033

Table 5 .

 5 Break date identification for the pair-wise HK-THAIL Estimators

		1 T	2 T	3 T
	Break dates	12/11/1996	25/11/1997	11/06/1998
	95% C.I.	08/11/96 :13/11/96 18/11/97 :28/11/97	09/06/98 :15/06/98
		0.3883	0.0877	0.2214	0.4723
	Standard error	0.0034	0.0038	0.0064	0.0031

Table 6 .

 6 Break date identification for the pair-wise IND-THAIL

	j ˆj ρ
	ρ ˆj
	Estimators	1 T	2 T	3 T	4 T
	Break dates	15/11/1996	03/07/1997	19/01/1998	17/08/1998
	95% C.I. ρ ˆ	13/11/96 :18/11/96 05/05/97 :29/07/97 15/01/98 :21/01/98 12/08/98 :18/08/98 0.3428 0.1197 0.1611 0.3578	0.4321
	Standard error	0.0022	0.0043	0.0066	0.0017	0.0016

Table 7 .

 7 Break date identification for the pair-wise MAL-THAIL

	Estimators	1 T	2 T	3 T	4 T
	Break dates	14/11/1996	12/06/1997	28/01/1998	10/12/1998
	95% C.I.	12/11/96 :15/11/96 27/05/97 :13/06/97 26/01/98 :29/01/98 08/12/98 :16/12/98
		0.3762	0.2174	0.1311	0.4308	0.3255
	Standard error	0.0022	0.0022	0.0064	0.0038	0.0025

Table 8 .

 8 Break date identification for the pair-wise PHIL-THAIL

	Estimators	1 T	2 T	3 T	4 T
	Break dates	28/05/1996	12/06/1997	29/01/1998	10/12/1998
	95% C.I.	24/05/96 :06/06/96 28/05/97 :16/06/97 27/01/98 :30/01/98 08/12/98 :29/12/98
		0.2011	0.0312	-0.0593	0.3507	0.2776
	Standard error	0.0102	0.0027	0.0064	0.005	0.021

Table 9 .

 9 Break date identification for the pair-wise SIN-THAIL

	Estimators	1 T	2 T	3 T	4 T
	Break dates	28/05/1996	17/01/1997	18/11/1997	04/06/1998
	95% C.I.	16/05/96 :03/06/96 13/01/97 :20/01/97 31/10/97 :01/12/97 02/06/98 :09/06/98
		0.4459	0.3931	0.1743	0.2853	0.5382
	Standard error	0.0027	0.003	0.0067	0.0089	0.0026

Table 10 .

 10 Break date identification for the pair-wise TAIW-THAIL

	Estimators	1 T	2 T	3 T	4 T
	Break dates	18/07/1996	11/02/1997	12/01/1998	11/12/1998
	95% C.I.	15/07/96 :23/09/96 28/01/97 :12/02/97 08/01/98 :13/01/98 09/12/98 :18/12/98
		-0.000002	0.0186	-0.0221	0.2214	0.1573
	Standard error	0.0028	0.0009	0.0026	0.0043	0.0013

Acknowledgements

We would like to thank the participants in the Forecasting Financial Markets Conference 2007 in Marseille for their suggestions and remarks.

Appendix 1: Results of the break date identification

Note that the confidence intervals of the break dates (Tables 45678910) are calculated using the asymptotic distribution derived in [START_REF] Bai | Estimating and testing linear models with multiple structural changes[END_REF].