In this work, we use a time varying copula model to investigate the impact of the global financial crisis on dependence between US and each of six major stock markets and on risk management strategies. The model is implemented with an AR-GARCH-t for the marginal distribution and the extreme...

In this paper, we analyse the impact of capital regulation on performance and the risk-taking of 30 European banks. We used a technique of panel data over the period 2004-2009. Results show that capital regulation measured by the ratio capital has a negative and statistically significant...

This study offers a new perspective on crisis transmission through an examination of herding contagion during 2008-global financial crisis across Asian and European financial markets. Using a bivariate GARCH-BEKK model, results show that the volatility of US stock market during the subprime...