Fry-McKibbin, Renée; Martin, Vance L.; Tang, Chrismin - In: Journal of Banking & Finance 47 (2014) C, pp. 296-308
Asset market interconnectedness can give rise to significant contagion risks during periods of financial crises that … many financial crises, including the subprime crisis from mid 2007 to mid 2008, the Great Recession beginning 2008 and the … financial crises. The results reveal that by not correctly pricing the risks arising from higher order moments during financial …