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When do central counterparties enhance market stability?
Marshall, David Aaron; Ruffini, Ivana; Anene, Dominic - In: The journal of financial market infrastructures 6 (2017/2018) 2/3, pp. 131-162
Persistent link: https://www.econbiz.de/10011912396
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Structural contagion and vulnerability to unexpected liquidity shortfalls
Giansante, Simone; Chiarella, Carl; Sordi, Serena; … - In: Journal of economic behavior & organization : JEBO 83 (2012) 3, pp. 558-569
Persistent link: https://www.econbiz.de/10009698002
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Overlapping portfolios, contagion, and financial stability
Caccioli, Fabio; Farmer, J. Doyne; Foti, Nick; … - In: Journal of economic dynamics & control 51 (2015), pp. 50-63
Persistent link: https://www.econbiz.de/10011474265
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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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Measuring financial interdependence in asset markets with an application to eurozone equities
Fry-McKibbin, Renée; Hsiao, Cody Yu-Ling; Martin, Vance - In: Journal of banking & finance 122 (2021), pp. 1-21
Persistent link: https://www.econbiz.de/10012659252
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Contagion between real estate and financial markets : a Bayesian quantile-on-quantile approach
Caporin, Massimiliano; Gupta, Rangan; Ravazzolo, Francesco - In: The North American journal of economics and finance : a … 55 (2021), pp. 1-12
Persistent link: https://www.econbiz.de/10012667335
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Market fragmentation and contagion
Rahi, Rohit; Zigrand, Jean-Pierre - 2020
Persistent link: https://www.econbiz.de/10012487364
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Contagion accounting
Aldasoro, Iñaki; Hüser, Anne-Caroline; Kok Sørensen, … - 2020
sector, in a context of leverage targeting. Contagion can occur through direct interbank exposures, and indirect exposures … contagion is negligible in our analysis. Our findings underscore the importance of accurately estimating the price effects of …
Persistent link: https://www.econbiz.de/10012384482
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Contagion accounting
Aldasoro, Iñaki; Hüser, Anne-Caroline; Kok Sørensen, … - 2020
sector, in a context of leverage targeting. Contagion can occur through direct interbank exposures, and indirect exposures … contagion is negligible in our analysis. Our findings underscore the importance of accurately estimating the price effects of …
Persistent link: https://www.econbiz.de/10012387048
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Market fragmentation and contagion
Rahi, Rohit; Zigrand, Jean-Pierre - 2020
Persistent link: https://www.econbiz.de/10012259262