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On bank return and volatility spillovers : identifying transmitters and receivers during crisis periods
Apostolakis, George N.; Floros, Christos; Giannellis, … - In: International review of economics & finance : IREF 82 (2022), pp. 156-176
Persistent link: https://www.econbiz.de/10013542907
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Return volatilities and contagion transmission between Islamic and conventional bankers throughout the subprime crisis : evidence from the DCC-MGARCH model
Fakhfekh, Mohamed; Hachicha, Nejib - In: International journal of managerial and financial accounting 6 (2014) 2, pp. 133-145
Persistent link: https://www.econbiz.de/10010483052
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Return and volatility spillover among banks and insurers : evidence from pre-crisis and crisis periods
Elyasiani, Elyas; Kalotychou, Elena; Staikouras, Sotiris K. - In: Journal of financial services research : JFSR 48 (2015) 1, pp. 21-52
Persistent link: https://www.econbiz.de/10011414081
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Integration and risk contagion in financial crises : evidence from international stock markets
Gillas, Konstantinos Gkillas; Tsagkanos, Athanasios; … - In: Journal of business research : JBR 104 (2019), pp. 350-365
Persistent link: https://www.econbiz.de/10012105047
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Financial contagion drivers during recent global crises
Pineda, Julián; Cortés, Lina M.; Perote, Javier - In: Economic modelling 117 (2022), pp. 1-15
Persistent link: https://www.econbiz.de/10014229185
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European equity market contagion : an empirical application to Ireland's sovereign debt crisis
Corbet, Shaen; Twomey, Cian - In: European financial and accounting journal : EFAJ 10 (2015) 3, pp. 15-34
this crisis. During the Irish financial crisis from 2007 to 2010, strong contagion effects are uncovered between Irish … equity markets and the investigated European equity markets. The contagion effects are found to ease dramatically in the … intervention as a mechanism to mitigate and absorb contagion associated with state-specific financial crises and if possible …
Persistent link: https://www.econbiz.de/10011471074
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Tackling the volatility paradox: spillover persistence and systemic risk
Kubitza, Christian - 2021 - This version: April 13, 2021
This paper proposes Spillover Persistence as a measure for financial fragility. The volatility paradox predicts that fragility builds up when volatility is low, which challenges existing measures. Spillover Persistence tackles this challenge by exploring a novel dimension of systemic risk: loss...
Persistent link: https://www.econbiz.de/10012499703
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Returns and volatility spillover in the European banking industry during global financial crisis : flight to perceived quality or contagion?
Choudhry, Taufiq; Jayasekera, Ranadeva - In: International review of financial analysis 36 (2014), pp. 36-45
Persistent link: https://www.econbiz.de/10010530222
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Does fear spill over?
Chen, Cathy Yi-hsuan - In: Asia-Pacific journal of financial studies 43 (2014) 4, pp. 465-491
Persistent link: https://www.econbiz.de/10010407449
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Modeling financial contagion using mutually exciting jump processes
Aït-Sahalia, Yacine; Cacho-Diaz, Julio; Laeven, Roger J. A. - In: Journal of financial economics 117 (2015) 3, pp. 585-606
Persistent link: https://www.econbiz.de/10011480318