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Bank fragility and contagion: Evidence from the bank CDS market · Study

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ArticleBank fragility and contagion: Evidence from the bank CDS market

Laura Ballester2016

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Articlegreen2016

Bank fragility and contagion: Evidence from the bank CDS market

Laura Ballester · Barbara Casu · Ana González‐Urteaga

112 citations·0/0 files stored·Journal of Empirical Finance

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Banking stability, regulation, efficiency Financial Risk and Volatility Modeling Credit Risk and Financial Regulations

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References

1998Generalized impulse response analysis in linear multivariate models 2011Better to give than to receive: Predictive directional measurement of volatility spillovers 1996Impulse response analysis in nonlinear multivariate models 2002No Contagion, Only Interdependence: Measuring Stock Market Comovements 2000Financial Contagion 2008Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets 2004Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market 1990Correlations in Price Changes and Volatility across International Stock Markets

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Year2016

Typearticle

Published2016-01-21

VenueJournal of Empirical Finance

ISSN-L0927-5398

Languageen

Citations112

Files0 public / 0

ShelfBanking stability, regulation, efficiency

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doi10.1016/j.jempfin.2016.01.011

openalex_workW2270740919

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