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Inference on self-exciting jumps in prices and volatility using high-frequency measures
Maneesoonthorn, Worapree; Forbes, Catherine Scipione; … - In: Journal of applied econometrics 32 (2017) 3, pp. 504-532
Persistent link: https://www.econbiz.de/10011694633
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Systematic and liquidity risk in subprime-mortgage backed securities
Dungey, Mardi H.; Dwyer, Gerald P. <jun.>; Flavin, Thomas J. - 2011
The misevaluation of risk in securitized financial products is central to understanding the financial crisis of 2007 - 8. This paper characterizes the evolution of factors affecting collateralized debt obligations based on subprime mortgages. A key feature of subprime-mortgage backed indices is...
Persistent link: https://www.econbiz.de/10009382604
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International stock market indices comovements : a new look
Madaleno, Mara; Pinho, Carlos - In: International journal of finance & economics : IJFE 17 (2012) 1, pp. 89-102
Persistent link: https://www.econbiz.de/10009507847
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Benefits of wavelet-based carry trade diversification
Orlov, Vitaly; Äijö, Janne - In: Research in international business and finance 34 (2015), pp. 17-32
Persistent link: https://www.econbiz.de/10011325759
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Volatility transmission and herding contigion during the global financial crises
Abbes, Mouna Boujelbène - In: International journal of managerial and financial accounting 5 (2013) 2, pp. 138-161
Persistent link: https://www.econbiz.de/10009746408
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Systematic and liquidity risk in subprime-mortgage backed securities
Dungey, Mardi H.; Dwyer, Gerald P. <jun.>; Flavin, Thomas J. - 2011
Persistent link: https://www.econbiz.de/10009405947
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Systematic and liquidity risk in subprime-mortgage backed securities
Flavin, Thomas J.; Dwyer, Gerard P.; Dungey, Mardi H. - 2011
Persistent link: https://www.econbiz.de/10009763499
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Correlations between oil and stock markets : a wavelet-based approach
Martín-Barragán, Belén; Ramos, Sofia B.; Veiga, Helena - In: Economic modelling 50 (2015), pp. 212-227
Persistent link: https://www.econbiz.de/10011440530
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Systematic and liquidity risk in subprime-mortgage backed securities
Dungey, Mardi H.; Dwyer, Gerald P. <jun.>; Flavin, Thomas J. - 2011
Persistent link: https://www.econbiz.de/10009405731
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Systematic and Liquidity Risk in Subprime-Mortgage Backed Securities
Dungey, Mardi H. - 2014
The misevaluation of risk in securitized financial products is central to understanding the Financial Crisis of 2007-2008. This paper characterizes the evolution of factors affecting collateralized debt obligations (CDOs) based on subprime mortgages. A key feature of subprime-mortgage backed...
Persistent link: https://www.econbiz.de/10013067439