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Financial contagion and asset pricing
16 references·9 citing·49 second hop
Financial contagion and asset pricing (2014)Financial contagion and asset pricingAssessing systemic risks and predicting systemic events (2012)Assessing systemic risks and …Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets (2008)Measuring Financial Asset Ret…Measuring financial contagion: A Copula approach (2007)Measuring financial contagion…MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)MODELLING ASYMMETRIC EXCHANGE…Econometric issues in the analysis of contagion (2006)Econometric issues in the ana…A New Approach to Measuring Financial Contagion (2003)A New Approach to Measuring F…Is the international propagation of financial shocks non-linear? (2002)Is the international propagat…Do option markets correctly price the probabilities of movement of the underlying asset? (2001)Do option markets correctly p…The Twin Crises: The Causes of Banking and Balance-of-Payments Problems (1999)The Twin Crises: The Causes o…Recovering an Asset's Implied PDF from Option Prices: An Application to Crude Oil during the Gulf Crisis (1997)Recovering an Asset's Implied…Currency crashes in emerging markets: An empirical treatment (1996)Currency crashes in emerging …Contagious Currency Crises: First Tests (1996)Contagious Currency Crises: F…Exchange Market Mayhem: The Antecedents and Aftermath of Speculative Attacks (1995)Exchange Market Mayhem: The A…Approximate option valuation for arbitrary stochastic processes (1982)Approximate option valuation …THE VALUE OF AN OPTION TO EXCHANGE ONE ASSET FOR ANOTHER (1978)THE VALUE OF AN OPTION TO EXC…Options: A Monte Carlo approach (1977)Options: A Monte Carlo approa…Intelligent design: stablecoins (in)stability and collateral during market turbulence (2023)Intelligent design: stablecoi…Financial contagion in real economy: The key role of policy uncertainty (2020)Financial contagion in real e…The hedging effectiveness of global sectors in emerging and developed stock markets (2019)The hedging effectiveness of …Do Banks Change Their Liquidity Ratios Based on Network Characteristics? (2019)Do Banks Change Their Liquidi…Joint tests of contagion with applications (2018)Joint tests of contagion with…Global and regional financial integration in East Asia and the ASEAN (2018)Global and regional financial…A regime switching skew-normal model of contagion (2018)A regime switching skew-norma…Empirical analysis of market reactions to the UK’s referendum results – How strong will Brexit be? (2017)Empirical analysis of market …Pricing and Hedging of Derivatives in Contagious Markets (2014)Pricing and Hedging of Deriva…Bank Runs, Deposit Insurance, and Liquidity (1983)Rules, discretion and reputation in a model of monetary policy (1983)Contagion and Trade: Why Are Currency Crises Regional? (1998)Herd Behaviour and Cascading in Capital Markets: a Review and Synthesis (2003)Exchange Arrangements Entering the Twenty-First Century: Which Anchor will Hold?* (2019)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)Option Pricing when the Variance Changes Randomly: Theory, Estimation, and an Application (1987)THE GARCH OPTION PRICING MODEL (1995)Monte Carlo methods for security pricing (1997)Theory of rational option pricing (2005)Empirical exchange rate models of the seventies (1983)Political and economic determinants of budget deficits in the industrial democracies (1989)Political and Monetary Institutions and Public Financial Policies in the Industrial Countries (1991)Models of Currency Crises with Self-Fulfilling Features (1995)Is the crisis problem growing more severe? (2001)The Globalization of Liberalization: Policy Diffusion in the International Political Economy (2004)A Model of Balance-of-Payments Crises (1979)Leading Indicators of Currency Crises (1998)The Modern History of Exchange Rate Arrangements: A Reinterpretation (2004)From Financial Crash to Debt Crisis (2011)New Indexes of Coincident and Leading Economic Indicators (1989)The Determinants of Banking Crises in Developing and Developed Countries (1998)Does financial liberalization spur growth? (2005)Economic Freedom of the World: 2022 Annual Report (2022)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Multivariate Simultaneous Generalized ARCH (1995)An Introduction to Copulas (1999)Copula Modeling: An Introduction for Practitioners (2007)GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS (2012)SRISK: A conditional capital shortfall measure of systemic risk (2017)An Intertemporal Capital Asset Pricing Model (1973)Investment and the Valuation of Firms When There is an Option to Shut Down (1985)Changes of numéraire, changes of probability measure and option pricing (1995)Arbitrage Theory in Continuous Time (2004)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)Global financial crisis, extreme interdependences, and contagion effects: The role of economic structure? (2010)A review of copula models for economic time series (2012)Is gold a safe haven or a hedge for the US dollar? Implications for risk management (2013)Limited-dependent and qualitative variables in econometrics (1983)Financial Contagion (2000)Emerging markets finance (2003)Dynamic correlation analysis of financial contagion: Evidence from Asian markets (2007)Generalized impulse response analysis in linear multivariate models (1998)The robustness of identified VAR conclusions about money (1998)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk* (2018)
this work references cited by second hop

References

  • 1999The Twin Crises: The Causes of Banking and Balance-of-Payments Problems4,990 cited
  • 2008Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets3,131 cited
  • 2006MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE*2,119 cited
  • 1996Currency crashes in emerging markets: An empirical treatment1,940 cited
  • 1978THE VALUE OF AN OPTION TO EXCHANGE ONE ASSET FOR ANOTHER1,740 cited
  • 1977Options: A Monte Carlo approach1,341 cited
  • 1995Exchange Market Mayhem: The Antecedents and Aftermath of Speculative Attacks1,205 cited
  • 2003A New Approach to Measuring Financial Contagion1,015 cited
  • 1996Contagious Currency Crises: First Tests847 cited
  • 2007Measuring financial contagion: A Copula approach826 cited
  • 1982Approximate option valuation for arbitrary stochastic processes608 cited
  • 1997Recovering an Asset's Implied PDF from Option Prices: An Application to Crude Oil during the Gulf Crisis380 cited
  • 2006Econometric issues in the analysis of contagion289 cited
  • 2002Is the international propagation of financial shocks non-linear?277 cited
  • 2012Assessing systemic risks and predicting systemic events228 cited

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  • 2001Do option markets correctly price the probabilities of movement of the underlying asset?217 cited
  • Cited by

    • 2023Intelligent design: stablecoins (in)stability and collateral during market turbulence51 cited
    • 2017Empirical analysis of market reactions to the UK’s referendum results – How strong will Brexit be?48 cited
    • 2018Joint tests of contagion with applications36 cited
    • 2020Financial contagion in real economy: The key role of policy uncertainty35 cited
    • 2018A regime switching skew-normal model of contagion33 cited
    • 2018Global and regional financial integration in East Asia and the ASEAN31 cited
    • 2019The hedging effectiveness of global sectors in emerging and developed stock markets29 cited
    • 2019Do Banks Change Their Liquidity Ratios Based on Network Characteristics?29 cited
    • 2014Pricing and Hedging of Derivatives in Contagious Markets27 cited