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The linkages, persistence, asymmetry in the volatility, the price discovery and efficiency, and the effect of the US subprime mortgage financial crisis on the spot and the futures...

Paul, Muthucattu Thomas; Kimata, James D. - In: Applied economics 48 (2016) 7/9, pp. 669-683

Persistent link: https://www.econbiz.de/10011413991

Dynamical volatility and correlation among US stock and treasury bond cash and futures markets in presence of financial crisis : a copula approach

Liu, Hsiang-Hsi; Wang, Teng-Kun; Li, Weny - In: Research in international business and finance 48 (2019), pp. 381-396

Persistent link: https://www.econbiz.de/10012135956

Credit ratings and security prices in the subprime MBS market

Ashcraft, Adam B.; Goldsmith-Pinkham, Paul; Hull, Peter; … - In: The American economic review 101 (2011) 3, pp. 115-119

Persistent link: https://www.econbiz.de/10009260853

Is contagion in the eye of the beholder?

Mink, Mark - 2009

Persistent link: https://www.econbiz.de/10003912800

Stock returns and asymmetric volatility spillover dynamics between Asian emerging markets

Habiba, Umme; Shen, Peilong; Hamid, Kashif; Shahzad, Farrukh - In: Global business review 22 (2021) 5, pp. 1131-1145

Persistent link: https://www.econbiz.de/10012660316

Modeling value-at-risk for international portfolios in different jump-diffusion processes

Chen, Fen-ying - In: The journal of risk model validation 7 (2013) 2, pp. 93-117

Persistent link: https://www.econbiz.de/10009780648

The impact of the subprime financial crisis on stock index returns for high- and low-risk countries via CDS indices

Fang, Hao; Lee, Yen-Hsien - In: Investment management and financial innovations 8 (2011) 4, pp. 123-137

Persistent link: https://www.econbiz.de/10009545578

Subprime crisis and financial contagion : evidence from Tunisia

Gharsellaoui, Mongi - In: International journal of economics and financial issues … 3 (2013) 1, pp. 153-162

Persistent link: https://www.econbiz.de/10009691649

Does subprime crisis affect Chinese stock market returns?

Shi, Kai; Nie, Li - In: Journal of applied finance & banking 2 (2012) 6, pp. 163-173

This paper aims at testing the influence of Subprime Crisis on Chinese stock market returns. By means of newly proposed time series spatial analysis methodology, we investigate the dominance behavior of daily returns on both Shanghai Stock Exchange Composite Index and Shenzhen Stock Exchange...

Persistent link: https://www.econbiz.de/10009741543

Fundamental, flight-to-quality, and flight-to-liquidity components in subprime mortgage-backed security returns

Prendergast, Joseph R. - In: The journal of fixed income 19 (2009/10) 1, pp. 5-25

Persistent link: https://www.econbiz.de/10003875946

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