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Foreign exchange market contagion in Central Europe from the viewpoint of extreme value theory
Kadlčáková, Narcisa; Komárek, Luboš - In: Prague economic papers : a bimonthly journal of … 26 (2017) 6, pp. 690-721
Persistent link: https://www.econbiz.de/10011780233
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Dependence between stock markets of MENA countries after sub-prime crisis using bivariate extreme value theory
Ghorbel, Ahmed; Attafi, Zayneb - In: International journal of applied management science 6 (2014) 4, pp. 343-364
Persistent link: https://www.econbiz.de/10011346405
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Asset market linkages in crisis periods
Hartmann, Philipp; Straetmans, Stefan; Vries, Casper G. de - 2001
is particularly important. For example, our data show that stock-bond contagion is approximately as frequent as flight to …
Persistent link: https://www.econbiz.de/10011317457
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Stock-bond dependence and flight to/from quality
Ponrajah, Jeremey; Ning, Cathy Q. - In: International review of financial analysis 86 (2023), pp. 1-10
Persistent link: https://www.econbiz.de/10014248292
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Nonlinear contagion between stock and real estate markets : international evidence from a local Gaussian correlation approach
Bouri, Elie; Gupta, Rangan; Wang, Shixuan - In: International journal of finance & economics : IJFE 27 (2022) 2, pp. 2089-2109
Persistent link: https://www.econbiz.de/10013184682
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Identifying contagion risk in the international banking system : an extreme value theory approach
Chan-Lau, Jorge A.; Mitra, Srobona; Ong, Li Lian - In: International journal of finance & economics : IJFE 17 (2012) 4, pp. 390-406
Persistent link: https://www.econbiz.de/10009689473
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Short-Selling Bans and Contagion Risk
Pais, Amelia - 2012
bans is that short-selling increases the volatility and contagion risk of financial institutions. This paper uses Extreme … Value Theory to calculate univariate and contagion risk across financial institutions, and the effect of short-selling on …
Persistent link: https://www.econbiz.de/10013110434
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Contagion of Populist Extremism
Kishishita, Daiki - 2020
To explore the propagation of undesirable policies in a form of populist extremism, we construct a social learning model featuring agency problems. Politicians in different countries sequentially implement a policy. Voters learn the incumbent politician's type and the desirable policy by...
Persistent link: https://www.econbiz.de/10012840381
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Contagion of Populist Extremism
Kishishita, Daiki - 2019
between the public opinion and implemented policies. Whether the contagion stops in the long run depends on the correlation of …
Persistent link: https://www.econbiz.de/10012894379
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Financial contagion and contagion channels in the forex market : A new approach via the dynamic mixture copula-extreme value theory
Wang, Haiying; Yuan, Ying; Li, Yiou; Wang, Xunhong - In: Economic modelling 94 (2021), pp. 401-414
Persistent link: https://www.econbiz.de/10012695085