Cipriani, Marco; Gardenal, Gloria; Guarino, Antonio - In: Journal of Banking & Finance 37 (2013) 11, pp. 4310-4326
contagion amenable to be tested in the laboratory. In the model, contagion happens because of cross-market rebalancing, a … of portfolio rebalancing, a negative shock in one market transmits itself to the others, as investors adjust their …