Results 61 to 70 of about 1,839,651 (256)
COVID-19 Pandemic and Financial Contagion
Journal of Risk and Financial Management, 2020 The original contribution of this paper is to empirically document the contagion of the Covid-19 on financial markets. We merge databases from Johns Hopkins Coronavirus Center, Oxford-Man Institute Realized Library, NYU Volatility Lab, and St-Louis ...
Julien Chevallier
semanticscholar +1 more source
Rethinking Financial Contagion [PDF]
SSRN Electronic Journal, 2016 How, and to what extent, does an interconnected financial system endogenously amplify external shocks? This paper attempts to reconcile some apparently different views emerged after the 2008 crisis regarding the nature and the relevance of contagion in financial networks.
Visentin, Gabriele +2 more
openaire +4 more sources
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
doaj +1 more source
The impact of the COVID-19 pandemic on the global dynamic spillover of financial market risk
Frontiers in Public Health, 2022 The COVID-19 outbreak has greatly impacted the stability of the global financial markets. In the post-COVID-19 pandemic era, the risk contagion patterns of the global financial markets may change. This paper utilizes the conditional value-at-risk (ΔCoVaR)
Xiaoyu Tan +4 more
doaj +1 more source
Financial contagion through space-time point processes
Statistical Methods & Applications, 2020 We propose to study the dynamics of financial contagion by means of a class of point process models employed in the modeling of seismic contagion. The proposal extends network models, recently introduced to model financial contagion, in a space-time ...
G. Adelfio +3 more
semanticscholar +1 more source
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
core
Contagion in Commodity Markets under Financial Stress
Финансы: теория и практикаThe 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
doaj +1 more source
Bad or good neighbours: a spatial financial contagion study
Studies in Economics and Finance, 2020 Purpose The purpose of this paper is to study the evolution of financial contagion between Eurozone banks, observing the credit default swaps (CDSs) market during the period 2009–2017.
Matteo Foglia +3 more
semanticscholar +1 more source
Financial contagion and financial lockdowns
Journal of Economic Behavior & Organizationgoal 8: decent work and economic ...
Camera, Gabriele, Gioffre', Alessandro
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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
openaire +3 more sources