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Lapse risk in life insurance : correlation and contagion effects among policyholders' behaviors
Barsotti, Flavia; Milhaud, Xavier; Salhi, Yahia - In: Insurance / Mathematics & economics 71 (2016), pp. 317-331
Persistent link: https://www.econbiz.de/10011630860
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Silicon Valley Bank bankruptcy and stablecoins stability
Galati, Luca; Capalbo, Francesco - In: International review of financial analysis 91 (2024), pp. 1-8
Persistent link: https://www.econbiz.de/10014446959
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Analysing financial contagion and asymmetric market dependence with volatility indices via copulas
Yue Peng; Wing Lon Ng - In: Annals of finance 8 (2012) 1, pp. 49-74
Persistent link: https://www.econbiz.de/10009510581
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Asset price volatility and financial contagion : analysis using the MS-VAR framework
Le, Chau; David, Dickinson - In: Eurasian economic review : a journal in applied … 4 (2014) 2, pp. 133-162
Persistent link: https://www.econbiz.de/10010514793
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Markets connectivity and financial contagion
Grilli, Ruggero; Tedeschi, Gabriele; Gallegati, Mauro - In: Journal of economic interaction and coordination : JEIC 10 (2015) 2, pp. 287-304
Persistent link: https://www.econbiz.de/10011378825
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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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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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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
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On Financial Contagion and Implied Market Volatility
Kenourgios, Dimitris - 2014
This paper investigates volatility contagion across U.S. and European stock markets during the Global Financial Crisis (GFC) and the Eurozone Sovereign Debt Crisis (ESDC). Using a sample of international implied volatility indices on daily changes, I explore asymmetric conditional correlation...
Persistent link: https://www.econbiz.de/10013050344