Financial globalization, defined as global linkages through cross-border financial flows, has become increasingly relevant for emerging markets as they integrate financially with the rest of the world. This paper argues that, because of the way it is often measured, it has also led to the...

The German banking system came under pressure during the financial crisis, not least due to its significant exposure to toxic assets which originated in the US. In the short run, the stability of the system has been achieved, in large part through substantial government support measures....

The author proposes a new test for financial contagion based on a non-parametric measure of the cross-market correlation. The test does not depend on the assumption that the data are drawn from a given probability distribution; therefore, it allows for maximal flexibility in fitting into the...

We propose a new nonparametric test to identify mutually exciting jumps in high frequency data. We derive the asymptotic properties of the test statistics and show that the tests have good size and reasonable power in finite sample cases. Using our mutual excitation tests, we empirically...

In this paper, we propose a network-based analytical framework that exploits cointegration and the error correction model to systematically investigate the directions and intensities in terms of the short-run disequilibrium adjustment towards long-run equilibrium affecting the international...

A novel, general two-sample hypothesis testing procedure is established for testing the equality of tail copulas associated with bivariate data. More precisely, using an ingenious transformation of a natural two-sample tail copula process, a test process is constructed, which is shown to...

We analyze extreme movements of the main stocks market indexes in the European Union. We find that the Sweden and UK markets are the preferred ones for risk averse investors since they present the best risk-return performance. Moreover, the UK market is found to have a very low dependence with...

In this study, we examine the spillover of Bitcoin’s jumps and diffusive variations to traditional assets using high frequency data. For our cross-asset study, we detect positive spillovers from Bitcoin to risk assets and negative spillovers to defensive assets. We also find evidence of...

In this study, we examine the cross-excitation effects of Bitcoin’s jumps and diffusive variations on traditional asset classes using high frequency data. For our cross-asset study, we detect the presence of positive jump spillovers from Bitcoin to risk assets and negative jump spillovers from...