global games methodologies. Contingent convertible bonds are meant to act as a bail-in mechanism for banks, where CoCo debt …

on conditional volatility of positive and negative effects of equal magnitude, and leverage, which is the negative … between asymmetry and leverage, as well as which asymmetric models are purported to be able to capture leverage, the purpose … appropriate regularity conditions; and (2) to show that leverage is not possible in these univariate conditional volatility models. …

effects on conditional volatility of positive and negative effects of equal magnitude, and possibly also leverage, which is …) showed that asymmetry was possible for GJR, but not leverage. McAleer and Hafner showed that leverage was not possible for … is shown that, in practice, EGARCH always displays asymmetry, though not leverage. …

captures both the Global Financial Crisis (GFC) and the subsequent European Sovereign Debt Crisis (ESDC). The attraction of the … mortgage debt. It took a year for the financial crisis to come to a head, but it did so on 15 September 2008, when the US … paper is the inclusion of leverage, or asymmetric effects. Our modelling is undertaken in the context of a multivariate …

) and the subsequent European Sovereign Debt Crisis (ESDC). The spillover index captures the transmission of volatility to …). The third shock is 9 May 2010. Our modelling includes leverage and asymmetric effects undertaken in the context of a …