Ulibarri, Carlos A. - In: The North American Journal of Economics and Finance 25 (2013) C, pp. 60-69
This paper uses a multivariate GARCH framework to examine how the 2008 moratorium on short-selling affected the systemic return-risk across three firms at the center of the subprime mortgage crises: Fannie Mae and Freddie Mac, the two largest buyers of US home mortgages; and American...