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VOLATILITY SPILLOVER AND CHANNELS TRANSMISSION DURING SUBPRIME CRISIS: EMPIRICAL STUDY OF USA STOCK MARKET AND OTHER DEVELOPED STOCK MARKETS
ACHRAF, Ghorbel; BOUJELBENE, Younes; ISSAM, Chouchene - In: Journal of Applied Economic Sciences Quarterly VIII (2013) 1, pp. 7-21
This paper proposes a framework to gauge the degree of volatility transmission during the subprime crisis of 2008 between U.S stock market and developed stock markets (France, Germany, United Kingdom, Japan) by deriving tests for conditional independence among daily volatility measures and...
Persistent link: https://www.econbiz.de/10010897988
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Intra-daily volatility spillovers in international stock markets
Golosnoy, Vasyl; Gribisch, Bastian; Liesenfeld, Roman - In: Journal of international money and finance 53 (2015), pp. 95-114
Persistent link: https://www.econbiz.de/10011475912
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Correlation analysis of financial contagionbetween the US and international stock markets : the role of the US subprime crisis
Mighri, Zouheir; Mansouri, Fayçal - In: Economics & finance notes 3 (2014) 1, pp. 1-31
Persistent link: https://www.econbiz.de/10010426228
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Intraday bidirectional volatility spillover across international stock markets : does the global financial crisis matter?
Jawadi, Fredj; Louhichi, Waël; Cheffou, Abdoulkarim Idi - In: Applied economics 47 (2015) 34/36, pp. 3633-3650
Persistent link: https://www.econbiz.de/10011293475
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On the volatility spillover between lslamic and conventional stock markets : a quantile regression analysis
Ben Rejeb, Aymen - In: Research in international business and finance 42 (2017), pp. 794-815
Persistent link: https://www.econbiz.de/10011750552
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Time-varying beta during the 2008 financial crisis : evidence from North America and Western Europe
Ben Slimane, Ikrame; Bellalah, Makram; Rjiba, Hatem - In: Journal of risk finance : the convergence of financial … 18 (2017) 4, pp. 398-431
Persistent link: https://www.econbiz.de/10011782717
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The subprime crisis : from financial markets collapse to a global economic crisis
Bouaziz, Meriam Chihi; Boujelbene, Younes; Bazin, Damien - In: International journal of economics 11 (2017) 2, pp. 177-187
Persistent link: https://www.econbiz.de/10011937356
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Herding behaviour in a peripheral European stock market : the impact of the subprime and the European sovereign debt crises
Santos, Luís G. G. dos; Lagoa, Sérgio - In: International journal of banking, accounting and finance 8 (2017) 2, pp. 174-203
Persistent link: https://www.econbiz.de/10011846589
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Volatility transmission between Dow Jones stock index and emerging Islamic stock index : case of subprime financial crises
Saadaoui, Amir; Boujelbene, Younes - In: Emerging Markets Journal : EMAJ 5 (2015) 1, pp. 41-49
Persistent link: https://www.econbiz.de/10011492048
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The subprime crisis: from financial markets collapse to a global economic crisis
Bouaziz, Meriam Chihi; Boujelbene, Younes; Bazin, Damien - In: International journal of economics 7 (2013) 2, pp. 227-237
Persistent link: https://www.econbiz.de/10010202509