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Analysing contagion and bailout effects with copulae

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  • Gregor Weiß

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    File URL: http://hdl.handle.net/10.1007/s12197-009-9099-x
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    Bibliographic Info

    Article provided by Springer in its journal Journal of Economics and Finance.

    Volume (Year): 36 (2012)
    Issue (Month): 1 (January)
    Pages: 1-32

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    Handle: RePEc:spr:jecfin:v:36:y:2012:i:1:p:1-32

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    Related research

    Keywords: Contagion Effects; Bailout; Tail Dependence; Copula; C01; G14; G21; G28;

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    1. Kabir, M. Humayun & Hassan, M. Kabir, 2005. "The near-collapse of LTCM, US financial stock returns, and the fed," Journal of Banking & Finance, Elsevier, vol. 29(2), pages 441-460, February.
    2. Rodriguez, Juan Carlos, 2007. "Measuring financial contagion: A Copula approach," Journal of Empirical Finance, Elsevier, vol. 14(3), pages 401-423, June.
    3. Gary Gorton & Lixin Huang, 2002. "Bank Panics and the Endogeneity of Central Banking," Center for Financial Institutions Working Papers 02-29, Wharton School Center for Financial Institutions, University of Pennsylvania.
    4. Jondeau, Eric & Rockinger, Michael, 2006. "The Copula-GARCH model of conditional dependencies: An international stock market application," Journal of International Money and Finance, Elsevier, vol. 25(5), pages 827-853, August.
    5. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
    6. Aharony, Joseph & Swary, Itzhak, 1983. "Contagion Effects of Bank Failures: Evidence from Capital Markets," The Journal of Business, University of Chicago Press, vol. 56(3), pages 305-22, July.
    7. Gropp, Reint & Moerman, Gerard, 2003. "Measurement of contagion in banks' equity prices," Working Paper Series 0297, European Central Bank.
    8. Butkiewicz James L., 1995. "The Impact of a Lender of Last Resort during the Great Depression: The Case of the Reconstruction Finance Corporation," Explorations in Economic History, Elsevier, vol. 32(2), pages 197-216, April.
    9. Lau, Sie Ting & McInish, Thomas H., 2003. "IMF bailouts, contagion effects, and bank security returns," International Review of Financial Analysis, Elsevier, vol. 12(1), pages 3-23.
    10. Fee, C. Edward & Thomas, Shawn, 2004. "Sources of gains in horizontal mergers: evidence from customer, supplier, and rival firms," Journal of Financial Economics, Elsevier, vol. 74(3), pages 423-460, December.
    11. Fermanian, Jean-David, 2005. "Goodness-of-fit tests for copulas," Journal of Multivariate Analysis, Elsevier, vol. 95(1), pages 119-152, July.
    12. Bollerslev, Tim & Chou, Ray Y. & Kroner, Kenneth F., 1992. "ARCH modeling in finance : A review of the theory and empirical evidence," Journal of Econometrics, Elsevier, vol. 52(1-2), pages 5-59.
    13. Foster, George, 1980. "Accounting policy decisions and capital market research," Journal of Accounting and Economics, Elsevier, vol. 2(1), pages 29-62, March.
    14. Bartram, Sohnke M. & Taylor, Stephen J. & Wang, Yaw-Huei, 2007. "The Euro and European financial market dependence," Journal of Banking & Finance, Elsevier, vol. 31(5), pages 1461-1481, May.
    15. de Bandt, Olivier & Hartmann, Philipp, 2000. "Systemic Risk: A Survey," CEPR Discussion Papers 2634, C.E.P.R. Discussion Papers.
    16. Alexandra Dias & Paul Embrechts, 2009. "Testing for structural changes in exchange rates' dependence beyond linear correlation," The European Journal of Finance, Taylor & Francis Journals, vol. 15(7-8), pages 619-637.
    17. Diamond, Douglas W, 1991. "Monitoring and Reputation: The Choice between Bank Loans and Directly Placed Debt," Journal of Political Economy, University of Chicago Press, vol. 99(4), pages 689-721, August.
    18. Kole, Erik & Koedijk, Kees & Verbeek, Marno, 2007. "Selecting copulas for risk management," Journal of Banking & Finance, Elsevier, vol. 31(8), pages 2405-2423, August.
    19. Goodhart, Charles A.E. & Huang, Haizhou, 2005. "The lender of last resort," Journal of Banking & Finance, Elsevier, vol. 29(5), pages 1059-1082, May.
    20. James, Christopher, 1991. " The Losses Realized in Bank Failures," Journal of Finance, American Finance Association, vol. 46(4), pages 1223-42, September.
    21. Hasman, Augusto & Samartín, Margarita, 2008. "Information acquisition and financial contagion," Journal of Banking & Finance, Elsevier, vol. 32(10), pages 2136-2147, October.
    22. Gorton, Gary, 1985. "Bank suspension of convertibility," Journal of Monetary Economics, Elsevier, vol. 15(2), pages 177-193, March.
    23. repec:sae:ecolab:v:16:y:2006:i:2:p:1-2 is not listed on IDEAS
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