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Testing for stock market contagion : a quantile regression approach
Park, Sungyong; Wang, Wendun; Huang, Naijing - 2015 - This version: March 25, 2015
Regarding the asymmetric and leptokurtic behavior of financial data, we propose a new contagion test in the quantile regression framework that is robust to model misspecification. Unlike conventional correlation-based tests, the proposed quantile contagion test allows us to investigate the stock...
Persistent link: https://www.econbiz.de/10010504111
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Back to the future : backtesting systemic risk measures during historical bank runs and the great depression
Brownlees, Christian; Chabot, Ben; Ghysels, Eric; Kurz, … - In: Journal of banking & finance 113 (2020), pp. 1-20
Persistent link: https://www.econbiz.de/10012226121
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Is there really any contagion among major equity and securitized real estate markets? : analysis from a new perspective
Hui, Eddie Chi Man; Chan, Ka Kwan Kevin - In: The journal of real estate finance and economics 56 (2018) 4, pp. 567-586
Persistent link: https://www.econbiz.de/10012038823
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Can skewed GARCH-Type distributions improve volatility forecasts during global financial crisis?
Yang, Jack J. W.; Li, Chien-Tsung - In: The international journal of business and finance … 11 (2017) 2, pp. 39-50
Persistent link: https://www.econbiz.de/10011790401
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Systemic crisis management and central bank independence : an empirical analysis
Dardac, Nicolae; Giba, Adriana - In: Amfiteatru economic : an economic and business research … 12 (2010) 28, pp. 594-605
Persistent link: https://www.econbiz.de/10008688666
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Country risk index and sovereign ratings : do they foresee financial crises?
San-Martin-Albizuri, Nerea; Rodríguez Castellanos, Arturo - In: The journal of risk model validation 9 (2015) 1, pp. 33-55
Persistent link: https://www.econbiz.de/10010516721
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The determinants of vulnerability to the global financial crisis 2008 to 2009 : credit growth and other sources of risk
Feldkircher, Martin - 2012
Persistent link: https://www.econbiz.de/10009657610
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The world capital markets' perception of sustainability and the impact of the financial crisis
Lopatta, Kerstin; Kaspereit, Thomas - In: Journal of business ethics : JOBE 122 (2014) 3, pp. 475-500
Persistent link: https://www.econbiz.de/10010381889
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The determinants of vulnerability to the global financial crisis 2008 to 2009 : credit growth and other sources of risk
Feldkircher, Martin - In: Journal of international money and finance 43 (2014), pp. 19-49
Persistent link: https://www.econbiz.de/10010372647
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Do global factors impact BRICS stock markets? : a quantile regression approach
Mensi, Walid; Hammoudeh, Shawkat; Reboredo, Juan Carlos; … - In: Emerging markets review 19 (2014), pp. 1-17
Persistent link: https://www.econbiz.de/10010418057