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The impact of the eurozone crisis on European banks stocks contagion or interdependence?
Allegret, Jean-Pierre; Raymond, Hélène; Rharrabti, Houda - In: European research studies 19 (2016) 1, pp. 129-148
Persistent link: https://www.econbiz.de/10012007068
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Market reactions to the ECB's comprehensive assessment
Sahin, Cenkhan; Haan, Jakob de - 2015
Persistent link: https://www.econbiz.de/10010488885
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Market reactions to the ECB's Comprehensive Assessment
Sahin, Cenkhan; Haan, Jakob de - In: Economics letters 140 (2016), pp. 1-5
Persistent link: https://www.econbiz.de/10011615673
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Dependence in Credit Default Swap and Equity Markets : Dynamic Copula with Markov-Switching
Fei, Fei - 2017
Theoretical credit risk models a la Merton (1974) predict a non-linear negative link between a firm's default likelihood and asset value. This motivates us to propose a flexible empirical Markov-switching bivariate copula that allows for distinct time-varying dependence between credit default...
Persistent link: https://www.econbiz.de/10012974905
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Dependence in credit default swap and equity markets : dynamic copula with Markov-switching
Fei, Fei; Fuertes, Ana María; Kalotychou, Elena - In: International journal of forecasting 33 (2017) 3, pp. 662-678
Persistent link: https://www.econbiz.de/10011746197
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Information transmission between stock and bond markets during the Eurozone debt crisis : evidence from industry returns
Silva, Nuno - In: Spanish journal of finance & accounting : the official … 50 (2021) 4, pp. 381-394
Persistent link: https://www.econbiz.de/10012649513
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Transmission of the 2010 Greek sovereign debt crisis to Asia-Pacific stock markets : a copula-based approach
Jayech, Salma; Abdennadher, Emna - In: International journal of economics and business … 27 (2024) 1, pp. 23-43
Persistent link: https://www.econbiz.de/10015063241
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The performance and risk of banks in the U.S., Europe and Japan post-financial crisis
Weigand, Robert A. - In: Investment management and financial innovations 13 (2016) 4, pp. 75-93
Persistent link: https://www.econbiz.de/10011667555
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Distribution specific dependence and causality between industry-level U.S. credit and stock markets
Shahzad, Syed Jawad Hussain; Mensi, Walid; Hammoudeh, … - In: Journal of international financial markets, … 52 (2018), pp. 114-133
Persistent link: https://www.econbiz.de/10011986230
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Are the sovereign CDS premia sound estimators of the stock market returns? : evidence from the Eurozone
Wic, Ana Navarrete; Di Pietro, Filippo; Martín Marín, … - In: Revista de métodos cuantitativos para la economía y … 25 (2018), pp. 130-155
can predict the stock market returns of the most relevant economies within the Eurozone, so that, they serve as advanced …
Persistent link: https://www.econbiz.de/10011870707