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This thesis consists out of three essays on systemic risk in the banking system and stock market contagion. The first essay (Trapp and Wewel, 2013, "Transatlantic systemic risk") investigates which type of systemic risk common shocks or contagion dominated in the US and European banking systems...
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This paper considers the long memory volatility property in the daily return data of six major Asian exchange rates of KRW, SGD and INR in terms of USD and JPY. The daily returns generally are found to exhibit the widespread long memory volatility property and the FIGARCH model appears to be...
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been affected across six countries (China, South Korea, Japan, Italy, UK and US). We first document changes in income …
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there is a negative significant volatility spillover from four of the five selected stock markets (Australia, China, Japan …
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, and other major advanced economies have similar levels of credibility (albeit far from full credibility); however, Japan …
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