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~person:"Fry-McKibbin, Renée"
~person:"Lucas, André"
~person:"Tamakoshi, Go"
~subject:"Financial crisis"
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Fry-McKibbin, Renée
Lucas, André
Tamakoshi, Go
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1
Extremal
dependence
tests for contagion
Fry-McKibbin, Renée
;
Hsiao, Cody Yu-Ling
-
2015
-
Revision
Persistent link: https://www.econbiz.de/10011758209
Saved in:
2
Extremal
Dependence
and Contagion
Fry-McKibbin, Renée
;
Hsiao, Cody Yu-Ling
-
Crawford School of Public Policy, Australian National …
-
2014
A new test for financial market contagion based on changes in extremal
dependence
defined as co-kurtosis and co …
Persistent link: https://www.econbiz.de/10010904225
Saved in:
3
Spillover dynamics for systemic risk measurement using spatial financial time series models : conference paper
Blasques, Francisco
;
Koopman, Siem Jan
;
Lucas, André
; …
-
2014
and can be estimated conveniently by maximum likelihood. The spatial
dependence
parameter is assumed to follow a …
dependence
after the Greek default in winter 2012, which can be explained economically by a change in bank regulation. …
Persistent link: https://www.econbiz.de/10010491085
Saved in:
4
Spillover dynamics for systemic risk measurement using spatial financial time series models
Blasques, Francisco
;
Koopman, Siem Jan
;
Lucas, André
; …
-
2014
We introduce a new model for time-varying spatial
dependence
. The model extends the well-known static spatial lag model … study the information theoretic optimality of the updating steps for the time-varying spatial
dependence
parameter. We adopt … the model to empirically investigate the spatial
dependence
between eight European sovereign CDS spreads over the period …
Persistent link: https://www.econbiz.de/10010391531
Saved in:
5
Extremal
dependence
and contagion
Fry-McKibbin, Renée
;
Hsiao, Cody Yu-ling
-
2014
Persistent link: https://www.econbiz.de/10010349461
Saved in:
6
Extremal
dependence
tests for contagion
Fry-McKibbin, Renée
;
Hsiao, Cody Yu-Ling
- In:
Econometric reviews
37
(
2018
)
6/10
,
pp. 626-649
Persistent link: https://www.econbiz.de/10012040398
Saved in:
7
Spillover dynamics for systemic risk measurement using spatial financial time series models
Blasques, Francisco
;
Koopman, Siem Jan
;
Lucas, André
; …
- In:
Journal of econometrics
195
(
2016
)
2
,
pp. 211-223
Persistent link: https://www.econbiz.de/10011705251
Saved in:
8
Time-varying co-movements and volatility spillovers among financial sector CDS indexes in the UK
Tamakoshi, Go
;
Hamori, Shigeyuki
- In:
Research in international business and finance
36
(
2016
),
pp. 288-296
Persistent link: https://www.econbiz.de/10011594438
Saved in:
9
Co-movements among major European exchange rates : a multivariate time-varying asymmetric approach
Tamakoshi, Go
;
Hamori, Shigeyuki
- In:
International review of economics & finance : IREF
31
(
2014
),
pp. 105-113
Persistent link: https://www.econbiz.de/10010490436
Saved in:
10
An asymmetric dynamic conditional correlation analysis of linkages of European financial institutions during the Greek sovereign debt crisis
Tamakoshi, Go
;
Hamori, Shigeyuki
- In:
The European journal of finance
19
(
2013
)
9/10
,
pp. 939-950
Persistent link: https://www.econbiz.de/10010245648
Saved in:
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