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Are Islamic stocks immune from financial crises? : evidence from contagion tests
Hassan, Kamrul; Hoque, Ariful; Gasbarro, Dominic; Wong, … - In: International review of economics & finance : IREF 86 (2023), pp. 919-948
Persistent link: https://www.econbiz.de/10014437974
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Dependency or contagion between the Islamic and conventional banking system : evidence from the FIEGARCH-EVT-copula model
Fakhfekh, Mohamed; Ben Salem, Marwa; Hachicha, Nejib - In: Journal for global business advancement : JGBA 11 (2018) 2, pp. 129-155
Persistent link: https://www.econbiz.de/10011979857
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Return volatilities and contagion transmission between Islamic and conventional bankers throughout the subprime crisis : evidence from the DCC-MGARCH model
Fakhfekh, Mohamed; Hachicha, Nejib - In: International journal of managerial and financial accounting 6 (2014) 2, pp. 133-145
Persistent link: https://www.econbiz.de/10010483052
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Sovereign risk, elections, and contagion
Li, Chi; Balding, Christopher; Lee, Minsoo - 2013
debt crisis, elections in European countries have stronger contagion effects in their own region during a global slowdown …
Persistent link: https://www.econbiz.de/10009781196
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Are stock market crises contagious? : the role of crisis definitions
Mierau, Jochen O.; Mink, Mark - In: Journal of banking & finance 37 (2013) 12, pp. 4765-4776
Persistent link: https://www.econbiz.de/10010342232
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Detecting financial contagion in a multivariate system : conference paper
Blatt, Dominik; Candelon, Bertrand; Manner, Hans - 2014
This paper proposes an original three-part sequential testing procedure (STP), with which to test for contagion using a … test is applied to the correlation matrix to identify and date the potential contagion mechanism. As a third element, the … STP tests for the distinctiveness of the break dates previously found. Compared to traditional contagion tests in a …
Persistent link: https://www.econbiz.de/10010484769
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Correlation meets causality : a holistic measure of financial contagion
Sencer Atasoy, Burak; Ozkan, Ibrahim - In: Finance research letters 65 (2024), pp. 1-11
Persistent link: https://www.econbiz.de/10014552747
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Resilience of Canadian banks to funding liquidity shocks
Hałaj, Grzegorz - In: Latin American journal of central banking : LAJCB 1 (2020) 1/4, pp. 1-11
The agent-based model of Hałaj (2018) is calibrated to data from granular liquidity reporting by the largest banks in Canada. The model describes propagation and amplification of funding shocks between banks interacting on the interbank market. Some stylized stress-test scenarios of funding...
Persistent link: https://www.econbiz.de/10012545570
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Contagion accounting
Aldasoro, Iñaki; Hüser, Anne-Caroline; Kok Sørensen, … - 2020
sector, in a context of leverage targeting. Contagion can occur through direct interbank exposures, and indirect exposures … contagion is negligible in our analysis. Our findings underscore the importance of accurately estimating the price effects of …
Persistent link: https://www.econbiz.de/10012384482
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Contagion accounting
Aldasoro, Iñaki; Hüser, Anne-Caroline; Kok Sørensen, … - 2020
sector, in a context of leverage targeting. Contagion can occur through direct interbank exposures, and indirect exposures … contagion is negligible in our analysis. Our findings underscore the importance of accurately estimating the price effects of …
Persistent link: https://www.econbiz.de/10012387048