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Contagion effect due to Lehman Brothers’ bankruptcy and the global financial crisis - From the perspective of the Credit Default Swaps’ G14 dealers
Kazi, Irfan Akbar; Salloy, Suzanne - EconomiX, Université Paris Ouest-Nanterre la Défense … - 2013
Cappiello, Engle and Sheppard (2006), we examine if there is contagion during the global financial crisis, following Lehman …), but only some banks faced high contagion during the global financial crisis (long term impact). Regulators who try to …
Persistent link: https://www.econbiz.de/10010627865
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Cross-Market Spillovers with ‘Volatility Surprise’
Chevallier, Julien; Aboura, Sofiane - EconomiX, Université Paris Ouest-Nanterre la Défense … - 2014
This article adopts the asymmetric DCC with one exogenous variable (ADCCX) model developed by Vargas (2008), by updating the concept of ‘volatility surprise’ to capture cross-market relationships. Current methods for measuring spillovers do not focus on volatility interactions, and neglect...
Persistent link: https://www.econbiz.de/10010928985