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Leverage Network and Market Contagion · Study

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PreprintLeverage Network and Market Contagion

Zhi Da2017

OA

Preprintgreen2017

Leverage Network and Market Contagion

Zhi Da · Dong Lou · Hao Zhou

22 citations·0/0 files stored·SSRN Electronic Journal

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Financial Markets and Investment Strategies Banking stability, regulation, efficiency Financial Risk and Volatility Modeling

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References

1972Factoring and weighting approaches to status scores and clique identification 2002Equilibrium and welfare in markets with financially constrained arbitrageurs 2005Market Liquidity and Funding Liquidity 2012A Flow-Based Explanation for Return Predictability 2009Rank − 1 / 2: A Simple Way to Improve the OLS Estimation of Tail Exponents 2010Hedge Fund Contagion and Liquidity Shocks 2011The Network Origins of Aggregate Fluctuations 2008Liquidity, Default, and Crashes: Endogenous Contracts in General Equilibrium

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2010Leverage Causes Fat Tails and Clustered Volatilitypreprint · 4 shared references 2014Momentum Trading, Return Chasing, and Predictable Crashesreport · 4 shared references 2011Minsky’s Financial Instability Hypothesis and the Leverage Cyclepreprint · 4 shared references 2013Bubbles, Financial Crises, and Systemic Riskchapter · 3 shared references 2010The liquidity risk of liquid hedge fundsarticle · 3 shared references 2010Fire Sales in Finance and Macroeconomicsreport · 3 shared references

Details

Year2017

Typepreprint

Published2017-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations22

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.2139/ssrn.3043514

openalex_workW2762067682

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