The theoretical literature remains inconclusive on whether changes in bank exposure towards the domestic sovereign have an adverse effect on the sovereign risk position via a diabolic loop in the sovereign-bank nexus or reduce perceived default risk by acting as a disciplinary device for the...

This paper derives -- considering a Gaussian setting -- closed form solutions of the statistics that Adrian and Brunnermeier (2010) and Acharya et al. (2009) have suggested as measures of systemic risk to be attached to individual banks. The statistics equal the product of statistic specific...

This study aims to investigate and provide further insight into the dynamics of higher moments in the estimation of optimal hedge ratios during the recent credit crisis period by applying the Gram-Charlier expansion series. Furthermore, it compares the performance of the proposed model with...

This paper investigates the possible existence and nature of the day-of-the-week effect during the contemporary financial crisis. For this reason six regional equity markets are selected: five emerging i.e. Turkey, Bulgaria, Romania, Ukraine and Cyprus, and one mature i.e. Greece. Our main focus...

This paper presents a tractable model of non-linear dynamics of market returns using a Langevin approach.Due to non-linearity of an interaction potential, the model admits regimes of both small and large return fluctuations. Langevin dynamics are mapped onto an equivalent quantum mechanical (QM)...

This paper investigates the nature of the day-of-the-week effects during the contemporary financial crisis. For this reason five equity markets are selected: Greece, Turkey, Bulgaria, Romania and Cyprus. Our main focus is in the possible change in the markets' characteristics before and during...

We present a detailed bubble analysis of the Bitcoin to US Dollar price dynamics from January 2012 to February 2018. We introduce a robust automatic peak detection method that classifies price time series into periods of uninterrupted market growth (drawups) and regimes of uninterrupted market...

The spillover effects of interconnectedness between financial assets are decomposed into both sources of shocks and whether they amplify or dampen volatility conditions in the target market. We use historical decompositions to rearrange information from a VAR which includes sources, direction...

Differentiating between `good' and `bad' spillovers we disentangle sources of potential crisis from the intricately complex web of connections across international equity markets. In particular, we analyze the behaviour of 30 global equity markets and compute multiple spillover measures, which...