). The third shock is 9 May 2010. Our modelling includes leverage and asymmetric effects undertaken in the context of a …

an initial shock and on history, minus the baseline expectation that conditions on history. This makes the process … endogenous, but the choice of the baseline shock within the data set makes a difference. We explore the impact of three different … government allowed the investment bank Lehman Brothers to go bankrupt (GFC2). The third shock is 9 May 2010, which marked the …