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Modeling dependence structures among international stock markets : evidence from hierarchical Archimedean copulas

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Measuring financial market risk contagion using dynamic MRS-Copula models : the case of Chinese and other international stock markets

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Macroeconomic determinants of US corporate leverage

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Returns, correlations, and volatilities in equity markets : evidence from six OECD countries during the US financial crisis

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Volatility spillover shifts in global financial markets

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Contagion risk for Australian banks from global systemically important banks : evidence from extreme events

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Is market liquidity less resilient after the financial crisis? : evidence for US Treasuries

Broto, Carmen; Lamas, Matías - In: Economic modelling 93 (2020), pp. 217-229

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Frequency heterogeneity of tail connectedness : evidence from global stock markets

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Role of global, regional, and advanced market economic policy uncertainty on bond spreads in emerging markets

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The shifting drivers of global liquidity

Avdjiev, Stefan; Gambacorta, Leonardo; Goldberg, Linda S.; … - 2017

The post-crisis period has seen a considerable shift in the composition and drivers of international bank lending and international bond issuance, the two main components of global liquidity. The sensitivity of both types of flows to U.S. monetary policy rose substantially in the immediate...

Persistent link: https://www.econbiz.de/10011671045

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