Within a forward forecast test on Dynamic Conditional Correlation (DCC), we investigate the contagion of the subprime financial crisis between American, European and Asian stocks under asymmetry. In order to study this phenomenon we will follow these stages: Firstly we will use the Iterated...

The aim of this paper is to study the contagion effects of the subprime financial crisis on the real economy of developed countries. The contagion of this crisis will be measured by increased linkages between markets after a shock has taken place (the stock market shocks, the interbank spread)....

The objective of this study is to test the presence of the contagion phenomenon during the US subprime crisis. We adopt the test of adjusted correlation coefficients between markets and propose a new procedure that involves testing the non-linearity of the propagation mechanism shocks, estimated...

The financial markets' deregulation and globalisation have highlighted the banking systems' fragility in the presence of financial crises. Indeed, both conventional and Islamic banks have been affected by the recently witnessed international financial crisis. In this context, an attempt has been...

The aim of the paper is to analyse attitudes and actions taken by Polish enterprises towards high potential employees (talents) during economic crisis. In the first part, the author characterizes origins and definitions of talent management. Then, she presents results of her research carried out...

Many empirical studies find little evidence to support trade linkages as a channel for crisis spillovers during the 2008–09 global financial crisis, although trade linkages were one of the most important crisis transmission channels during 1971–97. A reason that may explain why trade...

Using a novel three-phase model based upon a conditional autoregressive Wishart (CAW) framework for the realized (co)variances of the US Dow Jones and the German stock index DAX, we analyze intra-daily volatility spillovers between the US and German stock markets. The proposed model explicitly...

This paper investigates the existence of arbitrage between index linked bonds and conventional bonds. The long-run equilibrium relationship among two French bonds yields (The OAT yields and OATi) is also studied empirically. In practice, the Johansen methodology is applied to estimate different...

The subprime financial crisis and the subsequent economic recession had encouraged economists world-wide to consider alternative financial solutions. Attention has been focused on Islamic banking and finance as an alternative model. The purpose of this research paper is to assess empirically the...

Given the growing need for managing financial risk and the recent global crisis, risk prediction is a crucial issue in banking and finance. In this paper, we show how recent advances in the statistical analysis of extreme events can provide solid methodological fundamentals for modeling extreme...