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Contagion and global financial crises : lessons from nine crisis episodes
Fry-McKibbin, Renée; Hsiao, Cody Yu-Ling; Tang, Chrismin - In: Open economies review 25 (2014) 3, pp. 521-570
Persistent link: https://www.econbiz.de/10010405552
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A new class of tests of contagion with applications
Fry, Renée; Martin, Vance; Tang, Chrismin - In: Journal of business & economic statistics : JBES ; a … 28 (2010) 3, pp. 423-437
Persistent link: https://www.econbiz.de/10008736165
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Actually This Time Is Different
Fry, Renée; Hsiao, Cody Yu-Ling; Tang, Chrismin - College of Business and Economics, Australian National … - 2011
Episodes of extraordinary turbulence in global financial markets are examined during eight crises ranging from Asia in 1997-98 to the recent great recession of 2008-10. The analysis focuses on changes in the dependence structures of equity markets through correlation and coskewness to answer the...
Persistent link: https://www.econbiz.de/10009644289
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Actually This Time Is Different
Fry, Renée; Hsiao, Cody Yu-Ling; Tang, Chrismin - Crawford School of Public Policy, Australian National … - 2011
Episodes of extraordinary turbulence in global financial markets are examined during eight crises ranging from Asia in 1997-98 to the recent great recession of 2008-10. The analysis focuses on changes in the dependence structures of equity markets through correlation and coskewness to answer the...
Persistent link: https://www.econbiz.de/10011185994
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Are financial crises alike?
Dungey, Mardi H.; Fry, Renee; González Hermosillo, Brenda - 2010
Persistent link: https://www.econbiz.de/10003949749
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Financial contagion and asset pricing
Fry-McKibbin, Renée; Martin, Vance; Tang, Chrismin - 2013
Persistent link: https://www.econbiz.de/10009788794
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Financial contagion and asset pricing
Fry-McKibbin, Renée; Martin, Vance; Tang, Chrismin - In: Journal of banking & finance 47 (2014), pp. 296-308
Persistent link: https://www.econbiz.de/10010506952
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Forecasting the volatility of asset returns : the informational gains from option prices
Martin, Vance; Tang, Chrismin; Yao, Wenying - In: International journal of forecasting 37 (2021) 2, pp. 862-880
Persistent link: https://www.econbiz.de/10012792874
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News and expected returns in East Asian equity markets : the RV-GARCHM model
Martin, Vance; Tang, Chrismin; Yao, Wenying - In: Journal of Asian economics 57 (2018), pp. 36-52
Persistent link: https://www.econbiz.de/10012102777
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Actually this Time is Different
Fry, Renee - 2011
Episodes of extraordinary turbulence in global financial markets are examined during eight crises ranging from Asia in 1997-98 to the recent great recession of 2008-10. The analysis focuses on changes in the dependence structures of equity markets through correlation and coskewness to answer the...
Persistent link: https://www.econbiz.de/10013123890