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Citations for "Asset Market Linkages in Crisis Periods"

by P. Hartmann & S. Straetmans & C.G. de Vries

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  1. Jondeau, Eric & Rockinger, Michael, 2006. "The Copula-GARCH model of conditional dependencies: An international stock market application," Journal of International Money and Finance, Elsevier, Elsevier, vol. 25(5), pages 827-853, August.
  2. Marie Briere & Ariane Chapelle & Ariane Szafarz, 2012. "No Contagion, only Globalization and Flight to Quality," ULB Institutional Repository 2013/149092, ULB -- Universite Libre de Bruxelles.
  3. Panait, Iulian & Constantinescu, Alexandru, 2012. "Stylized facts of the daily and monthly returns for the European stock indices during 2007-2012," MPRA Paper 44249, University Library of Munich, Germany.
  4. Chen Zou, 2009. "Dependence structure of risk factors and diversification effects," DNB Working Papers, Netherlands Central Bank, Research Department 219, Netherlands Central Bank, Research Department.
  5. Cumperayot, Phornchanok & Keijzer, Tjeert & Kouwenberg, Roy, 2006. "Linkages between extreme stock market and currency returns," Journal of International Money and Finance, Elsevier, Elsevier, vol. 25(3), pages 528-550, April.
  6. Andrew S. Duncan & Alain Kabundi, 2011. "Volatility Spillovers across South African Asset Classes during Domestic and Foreign," Working Papers 202, Economic Research Southern Africa.
  7. Podlich, Natalia & Wedow, Michael, 2011. "Credit contagion between financial systems," Discussion Paper Series 2: Banking and Financial Studies 2011,15, Deutsche Bundesbank, Research Centre.
  8. Elena Andreou & Eric Ghysels, 2003. "Test for Breaks in the Conditional Co-Movements of Asset Returns," University of Cyprus Working Papers in Economics, University of Cyprus Department of Economics 3-2003, University of Cyprus Department of Economics.
  9. Hyung, Namwon & de Vries, Casper G., 2007. "Portfolio selection with heavy tails," Journal of Empirical Finance, Elsevier, Elsevier, vol. 14(3), pages 383-400, June.
  10. Bong-Han Kim & Hyeongwoo Kim, 2011. "Spillover Effects of the US Financial Crisis on Financial Markets in Emerging Asian Countries," Auburn Economics Working Paper Series, Department of Economics, Auburn University auwp2011-04, Department of Economics, Auburn University.
  11. Dungey, Mardi & Jacobs, Jan & Lestano, 2010. "Financial crises in Asia: concordance by asset market or country?," Working Papers, University of Tasmania, School of Economics and Finance 10575, University of Tasmania, School of Economics and Finance, revised 01 Nov 2010.
  12. Virginie Coudert & Cécile Couharde & Valérie Mignon, 2010. "Exchange Rate Flexibility Across Financial Crises," Working Papers 2010-08, CEPII research center.
  13. Geluk, J.L. & de Vries, C.G., 2004. "Weighted sums of subexponential random variables and asymptotic dependence between returns on reinsurance equities," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute EI 2004-47, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  14. Reinhart, Carmen & Kaminsky, Graciela, 2008. "The center and the periphery: The globalization of financial turmoil," MPRA Paper 14100, University Library of Munich, Germany.
  15. Dungey, Mardi & McKenzie, Michael & Tambakis, Demosthenes N., 2009. "Flight-to-quality and asymmetric volatility responses in US Treasuries," Global Finance Journal, Elsevier, vol. 19(3), pages 252-267.
  16. Flavin, Thomas J. & Panopoulou, Ekaterini & Unalmis, Deren, 2008. "On the stability of domestic financial market linkages in the presence of time-varying volatility," Emerging Markets Review, Elsevier, Elsevier, vol. 9(4), pages 280-301, December.
  17. Jorge A. Chan-Lau & Donald J. Mathieson & James Y. Yao, 2004. "Extreme Contagion in Equity Markets," IMF Staff Papers, Palgrave Macmillan, vol. 51(2), pages 8.
  18. Philipp Hartmann & Stefan Straetmans & Casper de Vries, 2007. "Banking System Stability. A Cross-Atlantic Perspective," NBER Chapters, National Bureau of Economic Research, Inc, in: The Risks of Financial Institutions, pages 133-192 National Bureau of Economic Research, Inc.
  19. Tomas Fiala & Tomas Havranek, 2014. "Ailing Mothers, Healthy Daughters? Contagion in the Central European Banking Sector," William Davidson Institute Working Papers Series wp1069, William Davidson Institute at the University of Michigan.
  20. Lessard, Donald & Lucea, Rafael, 2009. "Embracing risk as a core competence: The case of CEMEX," Journal of International Management, Elsevier, Elsevier, vol. 15(3), pages 296-305, September.
  21. Chollete, Loran, 2011. "A Model of Endogenous Extreme Events," UiS Working Papers in Economics and Finance 2012/2, University of Stavanger.
  22. Michael Ehrmann & Marcel Fratzscher & Roberto Rigobon, 2005. "Stocks, Bonds, Money Markets and Exchange Rates: Measuring International Financial Transmission," NBER Working Papers 11166, National Bureau of Economic Research, Inc.
  23. René Garcia & Georges Tsafack, 2009. "Dependence Structure and Extreme Comovements in International Equity and Bond Markets," CIRANO Working Papers, CIRANO 2009s-21, CIRANO.
  24. Angelo Ranaldo & Paul Söderlind, 2007. "Safe Haven Currencies," Working Papers 2007-17, Swiss National Bank.
  25. Patnaik, Ila & Shah, Ajay & Singh, Nirvikar, 2012. "Foreign Investors Under Stress: Evidence from India," Working Papers, National Institute of Public Finance and Policy 12/103, National Institute of Public Finance and Policy.
  26. Xiao Qin & Chen Zhou, 2013. "Systemic Risk Allocation for Systems with A Small Number of Banks," DNB Working Papers, Netherlands Central Bank, Research Department 378, Netherlands Central Bank, Research Department.
  27. Koedijk, Kees & Kole, Erik & Verbeek, Marno, 2006. "Selecting Copulas for Risk Management," CEPR Discussion Papers, C.E.P.R. Discussion Papers 5652, C.E.P.R. Discussion Papers.
  28. Franziska Ohnsorge & Marcin Wolski & Yuanyan Sophia Zhang, 2014. "Safe Havens, Feedback Loops, and Shock Propagation in Global Asset Prices," IMF Working Papers 14/81, International Monetary Fund.
  29. Degryse, Hans & Elahi, Muhammad Ather & Penas, Maria Fabiana, 2012. "Determinants of Banking System Fragility: A Regional Perspective," CEPR Discussion Papers, C.E.P.R. Discussion Papers 8858, C.E.P.R. Discussion Papers.
  30. Manner, Hans & Candelon, Bertrand, 2007. "Testing for Asset Market Linkages: A new Approach based on Time-Varying Copulas," Research Memorandum 052, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
  31. Mendes, Beatriz V.M. & Leal, Ricardo P.C. & Carvalhal-da-Silva, Andre, 2007. "Clustering in emerging equity markets," Emerging Markets Review, Elsevier, Elsevier, vol. 8(3), pages 194-205, September.
  32. John Knight & Colin Lizieri & Stephen Satchell, 2005. "Diversification When It Hurts? The Joint Distributions of Real Estate and Equity Markets," Real Estate & Planning Working Papers, Henley Business School, Reading University rep-wp2005-16, Henley Business School, Reading University.
  33. Sandra Lizarazo, 2009. "Default Risk and Risk Averse International Investors," Working Papers, Centro de Investigacion Economica, ITAM 0907, Centro de Investigacion Economica, ITAM.
  34. Arnold Polanski & Evarist Stoja, 2013. "Co-dependence of Extreme Events in High Frequency FX Returns," University of East Anglia Applied and Financial Economics Working Paper Series, School of Economics, University of East Anglia, Norwich, UK. 040, School of Economics, University of East Anglia, Norwich, UK..
  35. Antonio Cosma & antonio.cosma@uni.lu & Michel Beine & Robert Vermeulen, 2009. "The Dark Side of Global Integration: Increasing Tail Dependence," LSF Research Working Paper Series, Luxembourg School of Finance, University of Luxembourg 09-05, Luxembourg School of Finance, University of Luxembourg.
  36. Tobias Adrian & Markus K. Brunnermeier, 2011. "CoVaR," NBER Working Papers 17454, National Bureau of Economic Research, Inc.
  37. Mardi Dungey, 2008. "The Tsunami: Measures of Contagion in the 2007–2008 Credit Crunch," CESifo Forum, Ifo Institute for Economic Research at the University of Munich, Ifo Institute for Economic Research at the University of Munich, vol. 9(4), pages 33-43, December.
  38. Dicembrino, Claudio & Scandizzo, Pasquale Lucio, 2011. "Can portfolio diversification increase systemic risk? evidence from the U.S and European mutual funds market," MPRA Paper 33715, University Library of Munich, Germany.
  39. Garita, Gus, 2011. "The reciprocal relationship between systemic risk and real economic activity," MPRA Paper 33135, University Library of Munich, Germany.
  40. Carmen Broto & Gabriel Perez-Quiros, 2013. "Disentangling contagion among sovereign cds spreads during the european debt crisis," Banco de Espa�a Working Papers 1314, Banco de Espa�a.
  41. Y. Malevergne & D. Sornette, 2002. "Investigating Extreme Dependences: Concepts and Tools," Papers cond-mat/0203166, arXiv.org.
  42. Sebastian Schich, 2004. "European stock market dependencies when price changes are unusually large," Applied Financial Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 14(3), pages 165-177.
  43. Metiu Norbert, 2011. "Financial contagion in developed sovereign bond markets," Research Memorandum 004, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
  44. Zhou, Chen, 2013. "The impact of imposing capital requirements on systemic risk," Journal of Financial Stability, Elsevier, Elsevier, vol. 9(3), pages 320-329.
  45. Arthur Charpentier & Emilios Galariotis & Christophe Villa, 2009. "Category-based Tail Comovement," Working Papers, HAL hal-00550330, HAL.
  46. Pieter A. Gautier, 2009. "Coordination Frictions and The Financial Crisis," Tinbergen Institute Discussion Papers, Tinbergen Institute 09-028/3, Tinbergen Institute.
  47. Michel Beine & Antonio Cosma & Robert Vermeulen, 2008. "The Dark Side of Global Integration: Increasing Tail Dependence," CREA Discussion Paper Series 08-03, Center for Research in Economic Analysis, University of Luxembourg.
  48. Mardi Dungey & George Milunovich & Susan Thorp, 2008. "Unobservable Shocks as Carriers of Contagion: A Dynamic Analysis Using Identified Structural GARCH," NCER Working Paper Series, National Centre for Econometric Research 22, National Centre for Econometric Research.
  49. Slijkerman, Jan Frederik & Schoenmaker, Dirk & de Vries, Casper G., 2013. "Systemic risk and diversification across European banks and insurers," Journal of Banking & Finance, Elsevier, Elsevier, vol. 37(3), pages 773-785.
  50. Coudert, Virginie & Gex, Mathieu, 2010. "Contagion inside the credit default swaps market: The case of the GM and Ford crisis in 2005," Journal of International Financial Markets, Institutions and Money, Elsevier, Elsevier, vol. 20(2), pages 109-134, April.
  51. Jesus Gonzalo & Jose Olmo, 2005. "Contagion Versus Flight To Quality In Financial Markets," Economics Working Papers we051810, Universidad Carlos III, Departamento de Economía.
  52. Sheppard, Kevin & Cappiello, Lorenzo & Engle, Robert F., 2003. "Asymmetric dynamics in the correlations of global equity and bond returns," Working Paper Series, European Central Bank 0204, European Central Bank.
  53. Christiansen, Charlotte & Ranaldo, Angelo, 2009. "Extreme coexceedances in new EU member states' stock markets," Journal of Banking & Finance, Elsevier, Elsevier, vol. 33(6), pages 1048-1057, June.
  54. Cumperayot, Phornchanok & Kouwenberg, Roy, 2013. "Early warning systems for currency crises: A multivariate extreme value approach," Journal of International Money and Finance, Elsevier, Elsevier, vol. 36(C), pages 151-171.
  55. Dirk G Baur & Thomas K.J. McDermott, 2012. "Safe Haven Assets and Investor Behavior Under Uncertainty," Working Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney 173, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
  56. Bekiros, S. & Georgoutsos, D., 2006. "Estimating the Correlation of International Equity Markets with Multivariate Extreme and Garch models," CeNDEF Working Papers, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance 06-17, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  57. Marco Rocco, 2011. "Extreme value theory for finance: a survey," Questioni di Economia e Finanza (Occasional Papers), Bank of Italy, Economic Research and International Relations Area 99, Bank of Italy, Economic Research and International Relations Area.
  58. Sean J. Gossel & Nicholas Biekpe, 2012. "The nominal rand/dollar exchange rate: before and after 1995," Studies in Economics and Finance, Emerald Group Publishing, Emerald Group Publishing, vol. 29(2), pages 105-117, June.
  59. Gaye Gencer & Sercan Demiralay, 2013. "The Impact of Oil Prices on Sectoral Returns: An Empirical Analysis from Borsa Istanbul," EY International Congress on Economics I (EYC2013), October 24-25, 2013, Ankara, Turkey, Ekonomik Yaklasim Association 245, Ekonomik Yaklasim Association.
  60. Gus, Garita & Chen, Zhou, 2011. "Averting Currency Crises: The Pros and Cons of Financial Openness," MPRA Paper 30218, University Library of Munich, Germany.
  61. Reint Gropp & Marco Lo Duca & Jukka Vesala, 2009. "Cross-Border Bank Contagion in Europe," International Journal of Central Banking, International Journal of Central Banking, International Journal of Central Banking, vol. 5(1), pages 97-139, March.
  62. Zhou, Chen, 2010. "Dependence structure of risk factors and diversification effects," Insurance: Mathematics and Economics, Elsevier, vol. 46(3), pages 531-540, June.
  63. Antonio Di Cesare & Philip A. Stork & Casper G. de Vries, 2011. "Risk measures for autocorrelated hedge fund returns," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area 831, Bank of Italy, Economic Research and International Relations Area.
  64. Anna Pavlova & Roberto Rigobon, 2008. "The Role of Portfolio Constraints in the International Propagation of Shocks," Review of Economic Studies, Oxford University Press, vol. 75(4), pages 1215-1256.
  65. Geert Bekaert & Campbell R. Harvey, 2003. "Market Integration and Contagion," NBER Working Papers 9510, National Bureau of Economic Research, Inc.
  66. Fratzscher, M., 2001. "Financial Market Integration in Europe: On the Effects of EMU on Stock Markets," Papers 48, Quebec a Montreal - Recherche en gestion.
  67. POON, Ser-Huang & ROCKINGER, Michael & TAWN, Jonathan, 2001. "New Extreme-Value Dependance Measures and Finance Applications," Les Cahiers de Recherche 719, HEC Paris.
  68. Jorge A. Chan-Lau & Srobona Mitra & Li L. Ong, 2007. "Contagion Risk in the International Banking System and Implications for London As a Global Financial Center," IMF Working Papers 07/74, International Monetary Fund.
  69. Maarten R.C. van Oordt & Chen Zhou, 2011. "The simple econometrics of tail dependence," DNB Working Papers, Netherlands Central Bank, Research Department 296, Netherlands Central Bank, Research Department.
  70. Bosma, Jakob & Koetter, Michael & Wedow, Michael, 2012. "Credit risk connectivity in the financial industry and stabilization effects of government bailouts," Discussion Papers 16/2012, Deutsche Bundesbank, Research Centre.
  71. Lucey, Brian & Sevic, Aleksandar, 2010. "Investigating the determinants of banking coexceedances in Europe in the summer of 2008," Journal of International Financial Markets, Institutions and Money, Elsevier, Elsevier, vol. 20(3), pages 275-283, July.
  72. Kraussl, Roman, 2005. "Do credit rating agencies add to the dynamics of emerging market crises?," Journal of Financial Stability, Elsevier, Elsevier, vol. 1(3), pages 355-385, April.
  73. Connolly, Robert A. & Stivers, Chris & Sun, Licheng, 2007. "Commonality in the time-variation of stock-stock and stock-bond return comovements," Journal of Financial Markets, Elsevier, Elsevier, vol. 10(2), pages 192-218, May.
  74. Gus Garita & Chen Zhou, 2009. "Can Open Capital Markets Help Avoid Currency Crises?," DNB Working Papers, Netherlands Central Bank, Research Department 205, Netherlands Central Bank, Research Department.
  75. repec:hal:wpaper:hal-00845254 is not listed on IDEAS
  76. Mauricio Arias & Juan Carlos Mendoza & David Pérez-Reyna, . "Applying CoV aR to Measure Systemic Market Risk: the Colombian Case," Temas de Estabilidad Financiera, Banco de la Republica de Colombia 047, Banco de la Republica de Colombia.
  77. Boubaker, Heni & Sghaier, Nadia, 2013. "Portfolio optimization in the presence of dependent financial returns with long memory: A copula based approach," Journal of Banking & Finance, Elsevier, Elsevier, vol. 37(2), pages 361-377.
  78. Tomat, Gian Maria, 2002. "Durable goods, price indexes and quality change: an application to automobile prices in Italy, 1988-1998," Working Paper Series, European Central Bank 0118, European Central Bank.
  79. Bialkowski, Jedrzej & Bohl, Martin T. & Serwa, Dobromil, 2006. "Testing for financial spillovers in calm and turbulent periods," The Quarterly Review of Economics and Finance, Elsevier, Elsevier, vol. 46(3), pages 397-412, July.
  80. Kim, Suk-Joong & Moshirian, Fariborz & Wu, Eliza, 2006. "Evolution of international stock and bond market integration: Influence of the European Monetary Union," Journal of Banking & Finance, Elsevier, Elsevier, vol. 30(5), pages 1507-1534, May.
  81. Marco A. Espinosa-Vega & Juan Solé, 2011. "Cross-border financial surveillance: a network perspective," Journal of Financial Economic Policy, Emerald Group Publishing, Emerald Group Publishing, vol. 3(3), pages 182-205, August.
  82. Jondeau, Eric & Rockinger, Michael, 2003. "Testing for differences in the tails of stock-market returns," Journal of Empirical Finance, Elsevier, Elsevier, vol. 10(5), pages 559-581, December.
  83. Corina Maria Ene & Carmen Marilena Uzlau & Iulian Panait, 2013. "Stylized Facts Of The Daily, Weekly And Monthly Returns On Bucharest Stock Exchange During 2007-2012," Annales Universitatis Apulensis Series Oeconomica, Faculty of Sciences, "1 Decembrie 1918" University, Alba Iulia, Faculty of Sciences, "1 Decembrie 1918" University, Alba Iulia, vol. 1(15), pages 15.
  84. Antonio Di Cesare & Philip A. Stork & Casper G. de Vries, 2011. "Risk Measures for Autocorrelated Hedge Fund Returns," Tinbergen Institute Discussion Papers, Tinbergen Institute 11-084/2/DSF 23, Tinbergen Institute.
  85. Mehari Mekonnen Akalu, 2002. "Measuring and Ranking Value Drivers," Tinbergen Institute Discussion Papers, Tinbergen Institute 02-043/2, Tinbergen Institute.
  86. Chin Man Chui & Jian Yang, 2012. "Extreme Correlation of Stock and Bond Futures Markets: International Evidence," The Financial Review, Eastern Finance Association, Eastern Finance Association, vol. 47(3), pages 565-587, 08.
  87. Habert white & Tae-Hwan Kim & Simone Manganelli, 2012. "VAR for VaR: Measuring Tail Dependence Using Multivariate Regression Quantiles," Working papers, Yonsei University, Yonsei Economics Research Institute 2012rwp-45, Yonsei University, Yonsei Economics Research Institute.
  88. Grzegorz Hałaj & Christoffer Kok, 2013. "Assessing interbank contagion using simulated networks," Computational Management Science, Springer, Springer, vol. 10(2), pages 157-186, June.
  89. Chollete, Lorán & de la Peña, Victor & Lu, Ching-Chih, 2012. "International diversification: An extreme value approach," Journal of Banking & Finance, Elsevier, Elsevier, vol. 36(3), pages 871-885.
  90. Hilal, Sawsan & Poon, Ser-Huang & Tawn, Jonathan, 2011. "Hedging the black swan: Conditional heteroskedasticity and tail dependence in S&P500 and VIX," Journal of Banking & Finance, Elsevier, Elsevier, vol. 35(9), pages 2374-2387, September.
  91. Mili, Mehdi, 2012. "Fixed-income portfolio management in crisis period: Expected tail loss (ETL) approach," Economics Discussion Papers 2012-33, Kiel Institute for the World Economy.
  92. Chen Zhou & Nikola Tarashev, 2013. "Looking at the tail: price-based measures of systemic importance," BIS Quarterly Review, Bank for International Settlements, Bank for International Settlements, June.
  93. Chan, Kam Fong & Treepongkaruna, Sirimon & Brooks, Robert & Gray, Stephen, 2011. "Asset market linkages: Evidence from financial, commodity and real estate assets," Journal of Banking & Finance, Elsevier, Elsevier, vol. 35(6), pages 1415-1426, June.
  94. Fuchun Li, 2009. "Testing for Financial Contagion with Applications to the Canadian Banking System," Working Papers, Bank of Canada 09-14, Bank of Canada.
  95. Cheung, Yan-Leung & Cheung, Yin-Wong & Ng, Chris C., 2007. "East Asian equity markets, financial crises, and the Japanese currency," Journal of the Japanese and International Economies, Elsevier, vol. 21(1), pages 138-152, March.
  96. Juan Sole & Marco A Espinosa-Vega, 2010. "Cross-Border Financial Surveillance," IMF Working Papers 10/105, International Monetary Fund.
  97. Bertrand Candelon, & Guillaume Gaulier & Christophe Hurlin, 2012. "Extreme Financial cycles," Revue d'économie politique, Dalloz, Dalloz, vol. 122(6), pages 823-831.
  98. Carsten Bormann & Melanie Schienle & Julia Schaumburg, 2014. "A Test for the Portion of Bivariate Dependence in Multivariate Tail Risk," Tinbergen Institute Discussion Papers, Tinbergen Institute 14-024/III, Tinbergen Institute.
  99. Bekaert, Geert & Harvey, Campbell R., 2003. "Emerging markets finance," Journal of Empirical Finance, Elsevier, Elsevier, vol. 10(1-2), pages 3-56, February.
  100. Garita, Gus, 2010. "An Inquiry into Banking Portfolios and Financial Stability Surrounding "The Great Recession"," MPRA Paper 25996, University Library of Munich, Germany.
  101. Gropp, Reint & Moerman, Gerard, 2004. "Measurement of contagion in banks' equity prices," Journal of International Money and Finance, Elsevier, Elsevier, vol. 23(3), pages 405-459, April.
  102. Dirk G. Baur & Brian M. Lucey, 2007. "Is Gold a Hedge or a Safe Haven? An Analysis of Stocks, Bonds and Gold," The Institute for International Integration Studies Discussion Paper Series, IIIS iiisdp198, IIIS.
  103. Hartmann, P. & Straetmans, S. & de Vries, C.G., 2010. "Heavy tails and currency crises," Journal of Empirical Finance, Elsevier, Elsevier, vol. 17(2), pages 241-254, March.
  104. De Vries, C.G., 2005. "The simple economics of bank fragility," Journal of Banking & Finance, Elsevier, Elsevier, vol. 29(4), pages 803-825, April.
  105. Wang, Yi-Chiuan & Wu, Jyh-Lin & Lai, Yi-Hao, 2013. "A revisit to the dependence structure between the stock and foreign exchange markets: A dependence-switching copula approach," Journal of Banking & Finance, Elsevier, Elsevier, vol. 37(5), pages 1706-1719.
  106. Simone Manganelli & Lorenzo Cappiello & Bruno Gerard, 2004. "The Contagion Box: Measuring Co-Movements in Financial Markets by Regression Quantiles," Econometric Society 2004 Latin American Meetings, Econometric Society 77, Econometric Society.
  107. Pukthuanthong, Kuntara & Roll, Richard, 2012. "Internationally correlated jumps," Working Paper Series, European Central Bank 1436, European Central Bank.
  108. Danielsson, Jon, 2002. "The emperor has no clothes: Limits to risk modelling," Journal of Banking & Finance, Elsevier, Elsevier, vol. 26(7), pages 1273-1296, July.
  109. Herrera, R. & Eichler, S., 2011. "Extreme dependence with asymmetric thresholds: Evidence for the European Monetary Union," Journal of Banking & Finance, Elsevier, Elsevier, vol. 35(11), pages 2916-2930, November.
  110. C. A. E. Goodhart & Miguel A. Segoviano Basurto, 2009. "Banking Stability Measures," IMF Working Papers 09/4, International Monetary Fund.
  111. Straetmans, Stefan & Candelon, Bertrand, 2013. "Long-term asset tail risks in developed and emerging markets," Journal of Banking & Finance, Elsevier, Elsevier, vol. 37(6), pages 1832-1844.
  112. Mardi Dungey & Renée Fry & Vance L. Martin, 2006. "Correlation, Contagion, and Asian Evidence," Asian Economic Papers, MIT Press, MIT Press, vol. 5(2), pages 32-72, June.
  113. Narcisa Kadlcakova & Lubos Komarek & Zlatuse Komarkova & Michal Hlavacek, 2013. "Identification of Asset Price Misalignments on Financial Markets With Extreme Value Theory," Working Papers, Czech National Bank, Research Department 2013/14, Czech National Bank, Research Department.
  114. Allen, Franklin & Gu, Xian & Kowalewski, Oskar, 2012. "Financial crisis, structure and reform," Journal of Banking & Finance, Elsevier, Elsevier, vol. 36(11), pages 2960-2973.
  115. Chen, Sheng-Syan & Chen, Hsien-Yi & Chang, Chong-Chuo & Yang, Shu-Ling, 2013. "How do sovereign credit rating changes affect private investment?," Journal of Banking & Finance, Elsevier, Elsevier, vol. 37(12), pages 4820-4833.
  116. Sandoval, Leonidas & Franca, Italo De Paula, 2012. "Correlation of financial markets in times of crisis," Physica A: Statistical Mechanics and its Applications, Elsevier, Elsevier, vol. 391(1), pages 187-208.
  117. K. Minderhoud, 2006. "Systemic Risk in the Dutch Financial Sector," De Economist, Springer, Springer, vol. 154(2), pages 177-195, June.
  118. Le Pen, Yannick & Sévi, Benoît, 2009. "News and correlations: an impulse response analysis," Economics Papers from University Paris Dauphine, Paris Dauphine University 123456789/6804, Paris Dauphine University.
  119. Markwat, Thijs & Kole, Erik & van Dijk, Dick, 2009. "Contagion as a domino effect in global stock markets," Journal of Banking & Finance, Elsevier, Elsevier, vol. 33(11), pages 1996-2012, November.
  120. Andres Kuusk & Tiiu Paas, 2010. "Contagion Of Financial Crises With Special Emphasis On Cee Economies: A Metaanalysis," University of Tartu - Faculty of Economics and Business Administration Working Paper Series, Faculty of Economics and Business Administration, University of Tartu (Estonia) 66, Faculty of Economics and Business Administration, University of Tartu (Estonia).
  121. Dungey, Mardi & Fry, Renee & Gonzalez-Hermosillo, Brenda & Martin, Vance L., 2007. "Contagion in global equity markets in 1998: The effects of the Russian and LTCM crises," The North American Journal of Economics and Finance, Elsevier, Elsevier, vol. 18(2), pages 155-174, August.
  122. Leonidas Sandoval Junior & Italo De Paula Franca, 2011. "Shocks in financial markets, price expectation, and damped harmonic oscillators," Papers 1103.1992, arXiv.org, revised Sep 2011.
  123. Rodriguez, Juan Carlos, 2007. "Measuring financial contagion: A Copula approach," Journal of Empirical Finance, Elsevier, Elsevier, vol. 14(3), pages 401-423, June.
  124. Leonidas Sandoval Junior & Italo De Paula Franca, 2011. "Correlation of financial markets in times of crisis," Papers 1102.1339, arXiv.org, revised Mar 2011.
  125. Baele, Lieven & Inghelbrecht, Koen, 2010. "Time-varying integration, interdependence and contagion," Journal of International Money and Finance, Elsevier, Elsevier, vol. 29(5), pages 791-818, September.
  126. Jian Zhou & Yanmin Gao, 2012. "Tail Dependence in International Real Estate Securities Markets," The Journal of Real Estate Finance and Economics, Springer, Springer, vol. 45(1), pages 128-151, June.
  127. Ila Patnaik & Ajay Shah & Nirvikar Singh, 2013. "Foreign Investors Under Stress," IMF Working Papers 13/122, International Monetary Fund.
  128. Yushi Yoshida, 2009. "Financial crisis, exchange rate and stock market integration," Discussion Papers, Kyushu Sangyo University, Faculty of Economics 38, Kyushu Sangyo University, Faculty of Economics.
  129. Radovan Vadovic, 2009. "Early, Late, and Multiple Bidding in Internet Auctions," Working Papers, Centro de Investigacion Economica, ITAM 0904, Centro de Investigacion Economica, ITAM.
  130. Garita, Gus & Zhou, Chen, 2009. "Can Financial Openness Help Avoid Currency Crises?," MPRA Paper 23166, University Library of Munich, Germany, revised 07 Jun 2010.
  131. Garita, Gus, 2009. "Risk-Factor Portfolios and Financial Stability," MPRA Paper 19611, University Library of Munich, Germany, revised 11 Dec 2009.
  132. Baur, Dirk G. & McDermott, Thomas K., 2010. "Is gold a safe haven? International evidence," Journal of Banking & Finance, Elsevier, Elsevier, vol. 34(8), pages 1886-1898, August.
  133. Cotter, John, 2004. "Modelling extreme financial returns of global equity markets," MPRA Paper 3532, University Library of Munich, Germany.
  134. Pais, Amelia & Stork, Philip A., 2011. "Contagion risk in the Australian banking and property sectors," Journal of Banking & Finance, Elsevier, Elsevier, vol. 35(3), pages 681-697, March.
  135. Panait, Iulian & Slavescu, Ecaterina Oana, 2011. "Volatility and causality study of the daily returns on the Bucharest Stock Exchange during 2007-2011," MPRA Paper 41786, University Library of Munich, Germany.
  136. Kurt Brannas & Albina Soultanaeva, 2011. "Influence of news from Moscow and New York on returns and risks of Baltic States’ stock markets," Baltic Journal of Economics, Baltic International Centre for Economic Policy Studies, Baltic International Centre for Economic Policy Studies, vol. 11(1), pages 109-124, July.
  137. Felices, Guillermo & Grisse, Christian & Yang, Jing, 2009. "International financial transmission: emerging and mature markets," Bank of England working papers, Bank of England 373, Bank of England.
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