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Citations for "Asset Market Linkages in Crisis Periods"

by de Vries, Casper G & Hartmann, Philipp & Straetmans, Stefan

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  1. Gropp, Reint & Moerman, Gerard, 2003. "Measurement of contagion in banks' equity prices," Working Paper Series 0297, European Central Bank.
  2. René Garcia & Georges Tsafack, 2009. "Dependence Structure and Extreme Comovements in International Equity and Bond Markets," CIRANO Working Papers 2009s-21, CIRANO.
  3. 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, vol. 20(3), pages 275-283, July.
  4. Roman Kräussl & Luiz Félix & Philip Stork, 2014. "The 2011 European Short Sale Ban: An Option Market Perspective," LSF Research Working Paper Series 14-02, Luxembourg School of Finance, University of Luxembourg.
  5. Chollete, Loran, 2011. "A Model of Endogenous Extreme Events," UiS Working Papers in Economics and Finance 2012/2, University of Stavanger.
  6. Gagnon, Louis & Karolyi, G. Andrew, 2006. "Price and Volatility Transmission across Borders," Working Paper Series 2006-5, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
  7. Kraussl, Roman, 2005. "Do credit rating agencies add to the dynamics of emerging market crises?," Journal of Financial Stability, Elsevier, vol. 1(3), pages 355-385, April.
  8. 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.
  9. Ila Patnaik & Ajay Shah & Nirvikar Singh, 2013. "Foreign Investors under Stress: Evidence From India," International Finance, Wiley Blackwell, vol. 16(2), pages 213-244, 06.
  10. Angelo Ranaldo & Paul Söderlind, 2010. "Safe Haven Currencies," Review of Finance, European Finance Association, vol. 14(3), pages 385-407.
  11. Betz, Frank & Hautsch, Nikolaus & Peltonen, Tuomas A. & Schienle, Melanie, 2016. "Systemic risk spillovers in the European banking and sovereign network," Journal of Financial Stability, Elsevier, vol. 25(C), pages 206-224.
  12. J.L. Geluk & C.G. de Vries, 2004. "Weighted Sums of Subexponential Random Variables and Asymptotic Dependence between Returns on Reinsurance Equities," Tinbergen Institute Discussion Papers 04-102/2, Tinbergen Institute.
  13. 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.
  14. Chang, Guang-Di & Cheng, Po-Ching, 2016. "Evidence of cross-asset contagion in U.S. markets," Economic Modelling, Elsevier, vol. 58(C), pages 219-226.
  15. Hałaj, Grzegorz & Kok, Christoffer, 2013. "Assessing interbank contagion using simulated networks," Working Paper Series 1506, European Central Bank.
  16. Thomas Chiang & Jiandong Li & Sheng-Yung Yang, 2015. "Dynamic stock–bond return correlations and financial market uncertainty," Review of Quantitative Finance and Accounting, Springer, vol. 45(1), pages 59-88, July.
  17. Francine Gresnigt & Erik Kole & Philip Hans Franses, 2015. "Exploiting Spillovers to forecast Crashes," Tinbergen Institute Discussion Papers 15-118/III, Tinbergen Institute.
  18. Virginie Coudert & Cécile Couharde & Valérie Mignon, 2010. "Exchange Rate Flexibility Across Financial Crises," Working Papers 2010-08, CEPII research center.
  19. Hans Manner & Bertrand Candelon, 2010. "Testing For Asset Market Linkages: A New Approach Based On Time-Varying Copulas," Pacific Economic Review, Wiley Blackwell, vol. 15(3), pages 364-384, 08.
  20. POON, Ser-Huang & ROCKINGER, Michael & TAWN, Jonathan, 2001. "New Extreme-Value Dependance Measures and Finance Applications," Les Cahiers de Recherche 719, HEC Paris.
  21. Reinhart, Carmen & Kaminsky, Graciela, 2008. "The center and the periphery: The globalization of financial turmoil," MPRA Paper 14100, University Library of Munich, Germany.
  22. Choo, Weihao & de Jong, Piet, 2016. "Insights to systematic risk and diversification across a joint probability distribution," Insurance: Mathematics and Economics, Elsevier, vol. 67(C), pages 142-150.
  23. Slijkerman, Jan Frederik & Schoenmaker, Dirk & de Vries, Casper G., 2013. "Systemic risk and diversification across European banks and insurers," Journal of Banking & Finance, Elsevier, vol. 37(3), pages 773-785.
  24. Rodriguez, Juan Carlos, 2007. "Measuring financial contagion: A Copula approach," Journal of Empirical Finance, Elsevier, vol. 14(3), pages 401-423, June.
  25. James Y. Yao & Jorge A Chan-Lau & Donald J Mathieson, 2002. "Extreme Contagion in Equity Markets," IMF Working Papers 02/98, International Monetary Fund.
  26. repec:hal:wpaper:hal-00845254 is not listed on IDEAS
  27. Sandra Lizarazo, 2009. "Default Risk and Risk Averse International Investors," Working Papers 0907, Centro de Investigacion Economica, ITAM.
  28. Francine Gresnigt & Erik Kole & Philip Hans Franses, 2015. "Specification Testing in Hawkes Models," Tinbergen Institute Discussion Papers 15-086/III, Tinbergen Institute.
  29. De Vries, C.G., 2005. "The simple economics of bank fragility," Journal of Banking & Finance, Elsevier, vol. 29(4), pages 803-825, April.
  30. Chen Zou, 2009. "Dependence structure of risk factors and diversification effects," DNB Working Papers 219, Netherlands Central Bank, Research Department.
  31. Broto, Carmen & Pérez-Quirós, Gabriel, 2015. "Disentangling contagion among sovereign CDS spreads during the European debt crisis," Journal of Empirical Finance, Elsevier, vol. 32(C), pages 165-179.
  32. Giovanni Pittaluga & Elena Seghezza, 2012. "Euro vs Dollar: An Improbable Threat," Open Economies Review, Springer, vol. 23(1), pages 89-108, February.
  33. 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 040, School of Economics, University of East Anglia, Norwich, UK..
  34. Amir Saadaoui & Younes Boujelbene, 2014. "Volatility Transmission between Bond and Stock Markets: Case of Emerging Financial Markets," Acta Universitatis Danubius. OEconomica, Danubius University of Galati, issue 10(6), pages 84-98, December.
  35. Mardi Dungey & George Milunovich & Susan Thorp, 2008. "Unobservable Shocks as Carriers of Contagion: A Dynamic Analysis Using Identified Structural GARCH," NCER Working Paper Series 22, National Centre for Econometric Research.
  36. Reint Gropp & Marco Lo Duca & Jukka Vesala, 2007. "Cross-Border Bank Contagion in Europe," Working Paper Series: Finance and Accounting 175, Department of Finance, Goethe University Frankfurt am Main.
  37. 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, vol. 30(5), pages 1507-1534, May.
  38. Michael Ehrmann & Marcel Fratzscher & Roberto Rigobon, 2011. "Stocks, bonds, money markets and exchange rates: measuring international financial transmission," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 26(6), pages 948-974, 09.
  39. Marie Briere & Ariane Chapelle & Ariane Szafarz, 2008. "No contagion, only globalization and flight to quality," DULBEA Working Papers 08-22.RS, ULB -- Universite Libre de Bruxelles.
  40. 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, vol. 20(2), pages 109-134, April.
  41. Susanna Saroyan & Lilit Popoyan, 2017. "Bank-sovereign ties against interbank market integration: the case of the Italian segment," LEM Papers Series 2017/02, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
  42. Adrian, Tobias & Brunnermeier, Markus K., 2008. "CoVaR," Staff Reports 348, Federal Reserve Bank of New York, revised 01 Sep 2014.
    • Tobias Adrian & Markus K. Brunnermeier, 2016. "CoVaR," American Economic Review, American Economic Association, vol. 106(7), pages 1705-1741, July.
    • Tobias Adrian & Markus K. Brunnermeier, 2011. "CoVaR," NBER Working Papers 17454, National Bureau of Economic Research, Inc.
  43. 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 rep-wp2005-16, Henley Business School, Reading University.
  44. Koch, Nicolas, 2014. "Tail events: A new approach to understanding extreme energy commodity prices," Energy Economics, Elsevier, vol. 43(C), pages 195-205.
  45. Y. Malevergne & D. Sornette, 2002. "Investigating Extreme Dependences: Concepts and Tools," Papers cond-mat/0203166, arXiv.org.
  46. Charlotte Christiansen & Angelo Ranaldo, 2008. "Extreme Coexceedances in New EU Member States' Stock Markets," Working Papers 2008-10, Swiss National Bank.
  47. Chollete, Lorán & de la Peña, Victor & Lu, Ching-Chih, 2012. "International diversification: An extreme value approach," Journal of Banking & Finance, Elsevier, vol. 36(3), pages 871-885.
  48. Allen, Franklin & Gu, Xian & Kowalewski, Oskar, 2011. "Financial Crisis, Structure and Reform," Working Papers 11-37, University of Pennsylvania, Wharton School, Weiss Center.
  49. Radovan Vadovic, 2009. "Early, Late, and Multiple Bidding in Internet Auctions," Working Papers 0904, Centro de Investigacion Economica, ITAM.
  50. Chang, Guang-Di & Chen, Chia-Shih, 2014. "Evidence of contagion in global REITs investment," International Review of Economics & Finance, Elsevier, vol. 31(C), pages 148-158.
  51. Candelon, Bertrand & Straetmans, Stefan, 2006. "Testing for multiple regimes in the tail behavior of emerging currency returns," Journal of International Money and Finance, Elsevier, vol. 25(7), pages 1187-1205, November.
  52. Sebastian Schich, 2004. "European stock market dependencies when price changes are unusually large," Applied Financial Economics, Taylor & Francis Journals, vol. 14(3), pages 165-177.
  53. Sandoval, Leonidas & Franca, Italo De Paula, 2012. "Correlation of financial markets in times of crisis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(1), pages 187-208.
  54. Mendes, Beatriz V.M. & Leal, Ricardo P.C. & Carvalhal-da-Silva, Andre, 2007. "Clustering in emerging equity markets," Emerging Markets Review, Elsevier, vol. 8(3), pages 194-205, September.
  55. Yuri Salazar & Wing Ng, 2015. "Nonparametric estimation of general multivariate tail dependence and applications to financial time series," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 24(1), pages 121-158, March.
  56. Faezeh Raei & Selim Cakir, 2007. "Sukuk vs. Eurobonds; Is There a Difference in Value-at-Risk?," IMF Working Papers 07/237, International Monetary Fund.
  57. Fiala, Tomas & Havranek, Tomas, 2017. "The sources of contagion risk in a banking sector with foreign ownership," Economic Modelling, Elsevier, vol. 60(C), pages 108-121.
  58. Bormann, Carsten & Schaumburg, Julia & Schienle, Melanie, 2016. "Beyond dimension two: A test for higher-order tail risk," Working Paper Series in Economics 80, Karlsruhe Institute of Technology (KIT), Department of Economics and Business Engineering.
  59. Wang, Yi-Chen & Wang, Ching-Wen & Huang, Chia-Hsing, 2015. "The impact of unconventional monetary policy on the tail risks of stock markets between U.S. and Japan," International Review of Financial Analysis, Elsevier, vol. 41(C), pages 41-51.
  60. Petmezas, Dimitris & Santamaria, Daniel, 2014. "Investor induced contagion during the banking and European sovereign debt crisis of 2007–2012: Wealth effect or portfolio rebalancing?," Journal of International Money and Finance, Elsevier, vol. 49(PB), pages 401-424.
  61. Bekiros, S. & Georgoutsos, D., 2006. "Estimating the Correlation of International Equity Markets with Multivariate Extreme and Garch models," CeNDEF Working Papers 06-17, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  62. 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 245, Ekonomik Yaklasim Association.
  63. Pukthuanthong, Kuntara & Roll, Richard, 2012. "Internationally correlated jumps," Working Paper Series 1436, European Central Bank.
  64. Elena Andreou & Eric Ghysels, 2002. "Tests for Breaks in the Conditional Co-movements of Asset Returns," CIRANO Working Papers 2002s-59, CIRANO.
  65. Anderson, Randy I. & Chen, Yi-Chi & Wang, Li-Min, 2015. "A range-based volatility approach to measuring volatility contagion in securitized real estate markets," Economic Modelling, Elsevier, vol. 45(C), pages 223-235.
  66. 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 09-05, Luxembourg School of Finance, University of Luxembourg.
  67. 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, vol. 37(12), pages 4820-4833.
  68. 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 77, Econometric Society.
  69. Danielsson, Jon, 2002. "The emperor has no clothes: Limits to risk modelling," Journal of Banking & Finance, Elsevier, vol. 26(7), pages 1273-1296, July.
  70. Cotter, John, 2004. "Modelling extreme financial returns of global equity markets," MPRA Paper 3532, University Library of Munich, Germany.
  71. Dirk G. Baur & Brian M. Lucey, 2010. "Is Gold a Hedge or a Safe Haven? An Analysis of Stocks, Bonds and Gold," The Financial Review, Eastern Finance Association, vol. 45(2), pages 217-229, 05.
  72. J.L. Geluk & L. de Haan & C.G. de Vries, 2007. "Weak & Strong Financial Fragility," Tinbergen Institute Discussion Papers 07-023/2, Tinbergen Institute.
  73. 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, vol. 9(4), pages 280-301, December.
  74. Jakša Krišto & Alen Stojanović & Hrvoje Filipović, 2015. "Systemic risk of UCITS investment funds and financial market stability tested using MRS model," EFZG Working Papers Series 1508, Faculty of Economics and Business, University of Zagreb.
  75. Lerby M. Ergun, 2016. "Disaster and fortune risk in asset returns," LSE Research Online Documents on Economics 66194, London School of Economics and Political Science, LSE Library.
  76. María José Melendez & Marco Morales & Guillermo Yáñez, 2010. "Transmisión de Shocks y Acoplamiento con Mercados Accionarios Externos: Efectos Asimétricos y Quiebre Estructural," Working Papers 11, Facultad de Economía y Empresa, Universidad Diego Portales.
  77. 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, vol. 35(6), pages 1415-1426, June.
  78. Garita, Gus, 2010. "An Inquiry into Banking Portfolios and Financial Stability Surrounding "The Great Recession"," MPRA Paper 25996, University Library of Munich, Germany.
  79. 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 auwp2011-04, Department of Economics, Auburn University.
  80. K. Minderhoud, 2006. "Systemic Risk in the Dutch Financial Sector," De Economist, Springer, vol. 154(2), pages 177-195, June.
  81. Geluk, J.L. & De Vries, C.G., 2006. "Weighted sums of subexponential random variables and asymptotic dependence between returns on reinsurance equities," Insurance: Mathematics and Economics, Elsevier, vol. 38(1), pages 39-56, February.
  82. 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.
  83. Podlich, Natalia & Wedow, Michael, 2011. "Credit contagion between financial systems," Discussion Paper Series 2: Banking and Financial Studies 2011,15, Deutsche Bundesbank, Research Centre.
  84. Antonio Di Cesare & Philip A. Stork & Casper G. de Vries, 2011. "Risk Measures for Autocorrelated Hedge Fund Returns," Tinbergen Institute Discussion Papers 11-084/2/DSF 23, Tinbergen Institute.
  85. Bekaert, Geert & Harvey, Campbell R., 2003. "Emerging markets finance," Journal of Empirical Finance, Elsevier, vol. 10(1-2), pages 3-56, February.
  86. Franziska L Ohnsorge & Marcin Wolski & Yuanyan S Zhang, 2014. "Safe Havens, Feedback Loops, and Shock Propagation in Global Asset Prices," IMF Working Papers 14/81, International Monetary Fund.
  87. Geert Bekaert & Campbell R. Harvey, 2003. "Market Integration and Contagion," NBER Working Papers 9510, National Bureau of Economic Research, Inc.
  88. Philipp Hartmann & Stefan Straetmans & Casper de Vries, 2007. "Banking System Stability. A Cross-Atlantic Perspective," NBER Chapters, in: The Risks of Financial Institutions, pages 133-192 National Bureau of Economic Research, Inc.
  89. Jan Frederik Slijkerman & Dirk Schoenmaker & Casper de Vries, 2005. "Risk Diversification by European Financial Conglomerates," Tinbergen Institute Discussion Papers 05-110/2, Tinbergen Institute.
  90. Andre Lucas & Bernd Schwaab & Xin Zhang, 2013. "Measuring Credit Risk in a Large Banking System: Econometric Modeling and Empirics," Tinbergen Institute Discussion Papers 13-063/IV/DSF56, Tinbergen Institute, revised 13 Oct 2014.
  91. 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, vol. 35(9), pages 2374-2387, September.
  92. 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, vol. 10(2), pages 192-218, May.
  93. Juan Sole & Marco A Espinosa-Vega, 2010. "Cross-Border Financial Surveillance; A Network Perspective," IMF Working Papers 10/105, International Monetary Fund.
  94. Bertrand Candelon & Guillaume Gaulier & Christophe Hurlin, 2012. "Extreme Financial Cycles," Working Papers halshs-00769817, HAL.
  95. Johansson, Anders C., 2010. "Stock and Bond Relationships in Asia," Working Paper Series 2010-14, China Economic Research Center, Stockholm School of Economics.
  96. Dirk G. Baur & Thomas K. McDermott, "undated". "Is gold a safe haven? International evidence," The Institute for International Integration Studies Discussion Paper Series iiisdp310, IIIS.
  97. Degryse, Hans & Elahi, Muhammad Ather & Penas, Maria Fabiana, 2012. "Determinants of Banking System Fragility: A Regional Perspective," CEPR Discussion Papers 8858, C.E.P.R. Discussion Papers.
  98. Hatice Gaye Gencer, 2015. "Flight-to-quality or contagion effect? An analysis from the Turkish and the US financial markets," Financial Theory and Practice, Institute of Public Finance, vol. 39(3), pages 325-340.
  99. Y.L. Cheung & Y.W. Cheung & K.C. Ng, 2003. "East Asian Equity Markets, Financial Crises, and the Japanese Currency," Working Papers 032003, Hong Kong Institute for Monetary Research.
  100. Suh, Sangwon, 2015. "Measuring sovereign risk contagion in the Eurozone," International Review of Economics & Finance, Elsevier, vol. 35(C), pages 45-65.
  101. Gordon, Leo-Rey, 2015. "The Absorption Ratio as an Indicator for Macro-prudential Monitoring in Jamaica," MPRA Paper 69966, University Library of Munich, Germany.
  102. Liu, Lu, 2014. "Extreme downside risk spillover from the United States and Japan to Asia-Pacific stock markets," International Review of Financial Analysis, Elsevier, vol. 33(C), pages 39-48.
  103. Charnchai Leuwattanachotinan & Casper G. de Vries, 2015. "Extreme Linkages in Financial Markets: Macro Shocks and Systemic Risk," PIER Discussion Papers 2., Puey Ungphakorn Institute for Economic Research, revised Sep 2015.
  104. Raffaella Calabrese & Silvia Osmetti, 2014. "Modelling cross-border systemic risk in the European banking sector: a copula approach," Papers 1411.1348, arXiv.org.
  105. Lucas, André & Schwaab, Bernd & Zhang, Xin, 2015. "Modeling financial sector joint tail risk in the euro area," Working Paper Series 308, Sveriges Riksbank (Central Bank of Sweden).
  106. Ramona Dumitriu & Razvan Stefanescu, 2016. "Impact of the NYSE Shocks on the European Developed Capital Markets," Risk in Contemporary Economy, "Dunarea de Jos" University of Galati, Faculty of Economics and Business Administration, pages 327-334.
  107. Mauricio Arias & Juan Carlos Mendoza & David Pérez-Reyna, . "Applying CoV aR to Measure Systemic Market Risk: the Colombian Case," Temas de Estabilidad Financiera 047, Banco de la Republica de Colombia.
  108. Garita, Gus & Zhou, Chen, 2009. "Can Financial Openness Help Avoid Currency Crises?," MPRA Paper 23166, University Library of Munich, Germany, revised 07 Jun 2010.
  109. repec:eme:jfeppp:v:3:y:2011:i:3:p:182-205 is not listed on IDEAS
  110. Habert white & Tae-Hwan Kim & Simone Manganelli, 2012. "VAR for VaR: Measuring Tail Dependence Using Multivariate Regression Quantiles," Working papers 2012rwp-45, Yonsei University, Yonsei Economics Research Institute.
  111. Barsotti, Flavia & Viva, Luca Del, 2015. "Performance and determinants of the Merton structural model: Evidence from hedging coefficients," Journal of Banking & Finance, Elsevier, vol. 58(C), pages 95-111.
  112. Baele, Lieven & Inghelbrecht, Koen, 2010. "Time-varying integration, interdependence and contagion," Journal of International Money and Finance, Elsevier, vol. 29(5), pages 791-818, September.
  113. Gus, Garita & Chen, Zhou, 2011. "Averting Currency Crises: The Pros and Cons of Financial Openness," MPRA Paper 30218, University Library of Munich, Germany.
  114. Manner, Hans & Blatt, Dominik & Candelon, Bertrand, 2014. "Detecting financial contagion in a multivariate system," Annual Conference 2014 (Hamburg): Evidence-based Economic Policy 100411, Verein für Socialpolitik / German Economic Association.
  115. A. Can Inci, 2011. "Measuring flight to quality: a local correlation analysis," Review of Accounting and Finance, Emerald Group Publishing, vol. 10(1), pages 69-87, April.
  116. Felices, Guillermo & Grisse, Christian & Yang, Jing, 2009. "International financial transmission: emerging and mature markets," Bank of England working papers 373, Bank of England.
  117. John Knight & Colin Lizieri & Stephen Satchell, 2005. "Diversification when It Hurts? The Joint Distributions of Real Estate and Equity Markets1," Journal of Property Research, Taylor & Francis Journals, vol. 22(4), pages 309-323, December.
  118. Pami Dua & Divya Tuteja, 2016. "Contagion in International Stock and Currency Markets During Recent Crisis Episodes," Working papers 258, Centre for Development Economics, Delhi School of Economics.
  119. repec:dgr:rugsom:14029-eef is not listed on IDEAS
  120. 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.
  121. Zhou, Chen, 2010. "Dependence structure of risk factors and diversification effects," Insurance: Mathematics and Economics, Elsevier, vol. 46(3), pages 531-540, June.
  122. Félix, Luiz & Kräussl, Roman & Stork, Philip, 2016. "The 2011 European short sale ban: A cure or a curse?," Journal of Financial Stability, Elsevier, vol. 25(C), pages 115-131.
  123. Markwat, Thijs & Kole, Erik & van Dijk, Dick, 2009. "Contagion as a domino effect in global stock markets," Journal of Banking & Finance, Elsevier, vol. 33(11), pages 1996-2012, November.
  124. Sheppard, Kevin & Cappiello, Lorenzo & Engle, Robert F., 2003. "Asymmetric dynamics in the correlations of global equity and bond returns," Working Paper Series 0204, European Central Bank.
  125. Bojan Basrak & Petra Posedel & Marina Tkalec & Maruska Vizek, 2016. "Searching high and low: Extremal dependence of international sovereign bond markets," Working Papers 1604, The Institute of Economics, Zagreb.
  126. Gus Garita & Chen Zhou, 2009. "Can Open Capital Markets Help Avoid Currency Crises?," DNB Working Papers 205, Netherlands Central Bank, Research Department.
  127. Riedel, Christoph & Wagner, Niklas, 2015. "Is risk higher during non-trading periods? The risk trade-off for intraday versus overnight market returns," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 39(C), pages 53-64.
  128. 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.
  129. 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, vol. 1(15), pages 15-15.
  130. Ciner, Cetin & Gurdgiev, Constantin & Lucey, Brian M., 2013. "Hedges and safe havens: An examination of stocks, bonds, gold, oil and exchange rates," International Review of Financial Analysis, Elsevier, vol. 29(C), pages 202-211.
  131. Koedijk, Kees & Kole, Erik & Verbeek, Marno, 2006. "Selecting Copulas for Risk Management," CEPR Discussion Papers 5652, C.E.P.R. Discussion Papers.
  132. Liu, Chih-Liang & Yang, Hsin-Feng, 2017. "Systemic risk in carry-trade portfolios," Finance Research Letters, Elsevier, vol. 20(C), pages 40-46.
  133. Perego, Erica R. & Vermeulen, Wessel N., 2016. "Macro-economic determinants of European stock and government bond correlations: A tale of two regions," Journal of Empirical Finance, Elsevier, vol. 37(C), pages 214-232.
  134. Büyükşahin, Bahattin & Robe, Michel A., 2014. "Speculators, commodities and cross-market linkages," Journal of International Money and Finance, Elsevier, vol. 42(C), pages 38-70.
  135. Sean J. Gossel, 2012. "The nominal rand/dollar exchange rate: before and after 1995," Studies in Economics and Finance, Emerald Group Publishing, vol. 29(2), pages 105-117, August.
  136. Narcisa Kadlcakova & Lubos Komarek & Zlatuse Komarkova & Michal Hlavacek, 2013. "Identification of Asset Price Misalignments on Financial Markets With Extreme Value Theory," Working Papers 2013/14, Czech National Bank, Research Department.
  137. 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, vol. 37(2), pages 361-377.
  138. Arthur Charpentier & Emilios C. Galariotis & Christophe Villa, 2009. "Category-based Tail Comovement," Working Papers hal-00550330, HAL.
  139. Papavassiliou, Vassilios G., 2014. "Cross-asset contagion in times of stress," Journal of Economics and Business, Elsevier, vol. 76(C), pages 133-139.
  140. Fuchun Li, 2009. "Testing for Financial Contagion with Applications to the Canadian Banking System," Staff Working Papers 09-14, Bank of Canada.
  141. 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).
  142. Constancio, V., 2012. "Contagion and the European debt crisis," Financial Stability Review, Banque de France, issue 16, pages 109-121, April.
  143. Olmo, José & Gonzalo, Jesús, 2005. "Contagion versus flight to quality in financial markets," UC3M Working papers. Economics we051810, Universidad Carlos III de Madrid. Departamento de Economía.
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  156. Xiao Qin & Chen Zhou, 2013. "Systemic Risk Allocation for Systems with A Small Number of Banks," DNB Working Papers 378, Netherlands Central Bank, Research Department.
  157. Chollete, Loran & de la Pena , Victor & Lu, Ching-Chih, 2009. "International Diversification: An Extreme Value Approach," UiS Working Papers in Economics and Finance 2009/26, University of Stavanger.
  158. Hartmann, P. & Straetmans, S. & de Vries, C.G., 2010. "Heavy tails and currency crises," Journal of Empirical Finance, Elsevier, vol. 17(2), pages 241-254, March.
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  161. Jian Zhou & Yanmin Gao, 2012. "Tail Dependence in International Real Estate Securities Markets," The Journal of Real Estate Finance and Economics, Springer, vol. 45(1), pages 128-151, June.
  162. Dirk G Baur & Thomas K.J. McDermott, 2012. "Safe Haven Assets and Investor Behavior Under Uncertainty," Working Paper Series 173, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
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  170. Hyung, Namwon & de Vries, Casper G., 2007. "Portfolio selection with heavy tails," Journal of Empirical Finance, Elsevier, vol. 14(3), pages 383-400, June.
  171. Chen Zhou & Nikola Tarashev, 2013. "Looking at the tail: price-based measures of systemic importance," BIS Quarterly Review, Bank for International Settlements, June.
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  179. Jondeau, Eric & Rockinger, Michael, 2003. "Testing for differences in the tails of stock-market returns," Journal of Empirical Finance, Elsevier, vol. 10(5), pages 559-581, December.
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