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Terrorist incidents exert a negative, albeit usually short-lived, impact on markets and equity returns. Given the integration of global financial markets, mega-terrorist events also have a high contagion potential with their shock waves being transmitted across countries and markets. This paper...
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As the UK and the EU prepare to start negotiations for Brexit, it is important for both sides to comprehend the full extent of the consequences of this process. In this paper, we employ an agent based simulation framework in order to test for the short-term and long-term effects of Brexit on...
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We investigate the contagion appetite generated by the current debt crisis in Greece by focusing on six European Monetary Union bond markets, namely the Netherlands, Germany, Italy, Spain, Portugal and France. We use a framework that contains two procedures, a spillover regime/switching model...
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This study analyses the dynamics of intentional and fundamental herding and its non-linear determinants in the North-American energy market using state-space models and quantile-on-quantile regression technique. Our findings demonstrate significant presence of herding in North-American energy...
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