Results 31 to 40 of about 114,583 (229)

Measuring financial contagion: A Copula approach [PDF]

Journal of Empirical Finance, 2007
Abstract This paper models dependence with switching-parameter copulas to study financial contagion. Using daily returns from five East Asian stock indices during the Asian crisis, and from four Latin American stock indices during the Mexican crisis, it finds evidence of changing dependence during periods of turmoil.
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Financial contagion and asset pricing [PDF]

Journal of Banking & Finance, 2013
Asset market interconnectedness can give rise to significant contagion risks during periods of financial crises that extend beyond the risks associated with changes in volatilities and correlations. These channels include the transmission of shocks operating through changes in the higher order comoments of asset returns, including changes in coskewness
Fry-McKibbin, R, Martin, VL, Tang, C
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Financial Contagion of the Russian Economy: Intersectoral Aspect

Финансы: теория и практика
The study’s relevance is due to the need to identify the scale and channels of the spread of crises in the economy based on the use of the financial contagion methodology.
А. О. Ovcharov, A. M. Terekhov
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Financial Market Contagion [PDF]

, 2008
The power of the metaphor of contagion—that beliefs, actions, and strategies spread among economic agents like pathogens among biological organisms— causes it to recur in disparate areas of economics. This article focusses on four applications of contagion to economics: social influence or memoryless learning; Bayesian social learning; strategy choice ...
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Financial contagion and depositor monitoring [PDF]

Journal of Banking & Finance, 2013
This paper analyzes market discipline in a many-bank economy where contagion and bank runs interact. We present a model with differently-informed depositors, where those depositors that are more informed have incentives to monitor banks'; investments.
Van Bommel, Jos, Samartín, M., Hasman, A.   +2 more
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Mutual Information Based Analysis for the Distribution of Financial Contagion in Stock Markets

Discrete Dynamics in Nature and Society, 2017
This paper applies mutual information to research the distribution of financial contagion in global stock markets during the US subprime crisis. First, we symbolize the daily logarithmic stock returns based on their quantiles.
Xudong Wang, Xiaofeng Hui
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Financial Contagion and Attention Allocation [PDF]

The Economic Journal, 2012
This paper explains financial contagion between two stock markets with uncorrelated fundamentals by fluctuations in international investors’ attention allocation. We model the process of attention allocation that underlies portfolio investment in international markets using investors who face information processing constraints.
Jordi Mondria, Climent Quintana Domeque
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Contagion in Commodity Markets under Financial Stress

Финансы: теория и практика
The relevance of the study is due to the fact that in the conditions of the financialization of the economy, shocks arising in one market can spread rapidly and intensively to other markets, generating the effects of financial contagion.
M. Yu. Malkina
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Mandatory Disclosure and Financial Contagion [PDF]

Journal of Economic Theory, 2015
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Fernando Alvarez, Gadi Barlevy
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A mixed-game agent-based model of financial contagion [PDF]

, 2008
Over the past two decades, financial market crises with similar features have occurred in different regions of the world. Unstable cross-market linkages during financial crises are referred to as financial contagion.
Caporale, GM, Serguieva, A, Wu, H
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