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Financial Contagion and Asset Pricing

Citations

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Cited by:

  1. Oussama Tilfani & Paulo Ferreira & Andreia Dionisio & My Youssef El Boukfaoui, 2020. "EU Stock Markets vs. Germany, UK and US: Analysis of Dynamic Comovements Using Time-Varying DCCA Correlation Coefficients," JRFM, MDPI, vol. 13(5), pages 1-23, May.
  2. EnDer Su & Ving-Vunk Mak & Po-Yuk So, 2024. "Exploring Three-style Return Comovements and Contagion Using a Correlation Decomposition GARCH Model," Computational Economics, Springer;Society for Computational Economics, vol. 63(6), pages 2271-2305, June.
  3. Grilli, Ruggero & Giri, Federico & Gallegati, Mauro, 2020. "Collateral rehypothecation, safe asset scarcity, and unconventional monetary policy," Economic Modelling, Elsevier, vol. 91(C), pages 633-645.
  4. Ying-Ying Shen & Zhi-Qiang Jiang & Jun-Chao Ma & Gang-Jin Wang & Wei-Xing Zhou, 2022. "Sector connectedness in the Chinese stock markets," Empirical Economics, Springer, vol. 62(2), pages 825-852, February.
  5. Narayan, Shivani & Kumar, Dilip, 2024. "Macroprudential policy and systemic risk in G20 nations," Journal of Financial Stability, Elsevier, vol. 75(C).
  6. EnDer Su, 2021. "Testing stock market contagion properties between large and small stock markets," Review of Quantitative Finance and Accounting, Springer, vol. 57(1), pages 147-202, July.
  7. Li, Wei-Zhen & Zhai, Jin-Rui & Jiang, Zhi-Qiang & Wang, Gang-Jin & Zhou, Wei-Xing, 2022. "Predicting tail events in a RIA-EVT-Copula framework," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 600(C).
  8. Fry-McKibbin, Renée & Hsiao, Cody Yu-Ling & Martin, Vance L., 2021. "Measuring financial interdependence in asset markets with an application to eurozone equities," Journal of Banking & Finance, Elsevier, vol. 122(C).
  9. Galati, Luca & Capalbo, Francesco, 2024. "Silicon Valley Bank bankruptcy and Stablecoins stability," International Review of Financial Analysis, Elsevier, vol. 91(C).
  10. Benjamin Hippert & André Uhde & Sascha Tobias Wengerek, 2019. "Portfolio benefits of adding corporate credit default swap indices: evidence from North America and Europe," Review of Derivatives Research, Springer, vol. 22(2), pages 203-259, July.
  11. Abubakar Jamaladeen & David E. Omoregie & Samuel F. Onipede & Nafiu A. Bashir, 2022. "A regime-switching skew-normal model of contagion in some selected stock markets," SN Business & Economics, Springer, vol. 2(12), pages 1-20, December.
  12. Chan Joshua C.C. & Fry-McKibbin Renée A. & Hsiao Cody Yu-Ling, 2019. "A regime switching skew-normal model of contagion," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 23(1), pages 1-24, February.
  13. Wei Zhou, 2017. "Dynamic and Asymmetric Contagion Reactions of Financial Markets During the Last Subprime Crisis," Computational Economics, Springer;Society for Computational Economics, vol. 50(2), pages 207-230, August.
  14. Metiu, Norbert & Hilberg, Björn & Grill, Michael, 2016. "Credit constraints and the international propagation of US financial shocks," Journal of Banking & Finance, Elsevier, vol. 72(C), pages 67-80.
  15. Aristeidis Samitas & Elias Kampouris & Zaghum Umar, 2022. "Financial contagion in real economy: The key role of policy uncertainty," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(2), pages 1633-1682, April.
  16. Renée Fry-McKibbin & Cody Yu-Ling Hsiao & Vance L. Martin, 2017. "Joint tests of contagion with applications to financial crises," CAMA Working Papers 2017-65, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  17. Fry-McKibbin, Renée & Hsiao, Cody Yu-Ling & Martin, Vance L., 2018. "Global and regional financial integration in East Asia and the ASEAN," The North American Journal of Economics and Finance, Elsevier, vol. 46(C), pages 202-221.
  18. Domenico De Giovanni & Arturo Leccadito & Debora Loccisano, 2024. "Co-movements, option pricing and risk management: an application to WTI versus Brent spread options," Annals of Operations Research, Springer, vol. 336(1), pages 1039-1061, May.
  19. Renee Fry-McKibbin & Cody Yu-Ling Hsiao & Vance L. Martin, 2018. "Measuring Financial Interdependence in Asset Returns with an Application to Euro Zone Equities," CAMA Working Papers 2018-05, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  20. Diego Ferreira & Andreza A. Palma, 2022. "On the subprime crisis and the Latin American financial markets: A regime switching skew‐normal approach," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(3), pages 3300-3314, July.
  21. Shafiullah, Muhammad & Senthilkumar, Arunachalam & Lucey, Brian M. & Naeem, Muhammad Abubakr, 2024. "Deciphering asymmetric spillovers in US industries: Insights from higher-order moments," Research in International Business and Finance, Elsevier, vol. 70(PA).
  22. Hałaj, Grzegorz & Martinez-Jaramillo, Serafin & Battiston, Stefano, 2024. "Financial stability through the lens of complex systems," Journal of Financial Stability, Elsevier, vol. 71(C).
  23. Aristeidis, Samitas & Elias, Kampouris, 2018. "Empirical analysis of market reactions to the UK’s referendum results – How strong will Brexit be?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 53(C), pages 263-286.
  24. Jin, Jiayu & Han, Liyan & Wu, Lei & Zeng, Hongchao, 2020. "The hedging effectiveness of global sectors in emerging and developed stock markets," International Review of Economics & Finance, Elsevier, vol. 66(C), pages 92-117.
  25. Zongfeng Zou & Chao Zhang & Judong Li, 2025. "Identifying Higher-Order Moment Risk Contagion Between the US Dollar Exchange Rate and China’s Major Asset Classes," Mathematics, MDPI, vol. 13(5), pages 1-16, February.
  26. Riccardo Blasis & Luca Galati & Alexander Webb & Robert I. Webb, 2023. "Intelligent design: stablecoins (in)stability and collateral during market turbulence," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 9(1), pages 1-23, December.
  27. Renée Fry-McKibbin & Cody Yu-Ling Hsiao, 2014. "Extremal Dependence and Contagion," CAMA Working Papers 2014-38, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  28. Fry-McKibbin, Renée & Martin, Vance L. & Tang, Chrismin, 2014. "Financial contagion and asset pricing," Journal of Banking & Finance, Elsevier, vol. 47(C), pages 296-308.
  29. Metiu, Norbert & Hilberg, Björn & Grill, Michael, 2015. "Financial frictions and global spillovers," Discussion Papers 04/2015, Deutsche Bundesbank.
  30. Wu, Lei & Zeng, Hongchao, 2019. "The impact of liquidity constraints on the cash-futures basis dynamics: Evidence from the Chinese market," Economic Modelling, Elsevier, vol. 83(C), pages 96-110.
  31. Ardekani, Aref Mahdavi & Distinguin, Isabelle & Tarazi, Amine, 2020. "Do banks change their liquidity ratios based on network characteristics?," European Journal of Operational Research, Elsevier, vol. 285(2), pages 789-803.
  32. Mansur, Alfan, 2016. "The Impact of a Loss of Confidence in Emerging Market Economies to the World Economy: A Simulation with the G-Cubed Model," MPRA Paper 93870, University Library of Munich, Germany, revised 10 Nov 2017.
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