In this paper, we empirically investigate the degree of systemic risk in the U.S. banking sector versus other industry sectors. We characterize the systemic risk in each sector by the lower tail dependence of stock returns. Our study differs from extant literature in three respects. First, we...

Using a comprehensive dataset of first, second and third generation commodity indices, we investigate the potential diversification benefits in equity-bond portfolios. The results show that first generation commodity indices are outperformed by enhanced indices. Second generation indices provide...

This paper examines long memory volatility in international stock markets. We show that long memory volatility is widespread in eighty-two countries and that the degree of memory can be related to macroeconomic variables such as inflation, unemployment rates, interest rates or stability of a...