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A New Test of Financial Contagion with Application to the US Banking Sector
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Outgoing claims: the papers this work cites, builds on, or argues with.
inferredcites →https://doi.org/10.1002/(sici)1099-1158(199910)4:4<271::aid-ijfe110>3.0.co;2-mopenalex-extracted
Modelling emerging market risk premia using higher moments
inferredcites →https://doi.org/10.1016/b978-0-12-780850-5.50018-6openalex-extracted
THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation,…
inferredcites →https://doi.org/10.1016/b978-044450896-6.50010-8openalex-extracted
Modelling Dependence with Copulas and Applications to Risk Management
inferredcites →https://doi.org/10.1016/j.jimonfin.2004.01.005openalex-extracted
Measurement of contagion in banks’ equity prices
inferredcites →https://doi.org/10.1080/01621459.1983.10477940openalex-extracted
Estimation and Moment Recursion Relations for Multimodal Distributions of the Exponential Family
inferredcites →https://doi.org/10.1080/01621459.1993.10594318openalex-extracted
Robust Estimation, Nonnormalities, and Generalized Exponential Distributions
inferredcites →https://doi.org/10.1086/295472openalex-extracted
Capital Market Equilibrium with Restricted Borrowing
inferredcites →https://doi.org/10.1093/jjfinec/nbn017openalex-extracted
The Impact of Shocks on Higher Moments
inferredcites →https://doi.org/10.1093/rfs/hhn098openalex-extracted
Market Liquidity and Funding Liquidity
inferredcites →https://doi.org/10.1111/0022-1082.00247openalex-extracted
Conditional Skewness in Asset Pricing Tests
inferredcites →https://doi.org/10.1111/0022-1082.00340openalex-extracted
Extreme Correlation of International Equity Markets
inferredcites →https://doi.org/10.1111/1540-6261.00425openalex-extracted
Nonlinear Pricing Kernels, Kurtosis Preference, and Evidence from the Cross Section of Equity Returns
inferredcites →https://doi.org/10.1111/j.1540-6261.1964.tb02865.xopenalex-extracted
CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*
inferredcites →https://doi.org/10.1111/j.1540-6261.1980.tb03509.xopenalex-extracted
On The Direction of Preference for Moments of Higher Order Than The Variance
inferredcites →https://doi.org/10.1111/j.1540-6261.1997.tb03807.xopenalex-extracted
The Limits of Arbitrage
inferredcites →https://doi.org/10.1111/j.1540-6261.2012.01795.xopenalex-extracted
Ex Ante Skewness and Expected Stock Returns
inferredcites →https://doi.org/10.1111/j.1540-6288.1997.tb00426.xopenalex-extracted
Co‐Kurtosis and Capital Asset Pricing
inferredcites →https://doi.org/10.1198/jbes.2010.06060openalex-extracted
A New Class of Tests of Contagion With Applications
inferredcites →https://doi.org/10.1257/jep.23.1.77openalex-extracted
Deciphering the Liquidity and Credit Crunch 2007–2008
inferredcites →https://doi.org/10.17016/feds.2010.06openalex-extracted
The Finances of American Households in the Past Three Recessions: Evidence from the Survey of Consumer Finances
inferredcites →https://doi.org/10.2139/ssrn.1317454openalex-extracted
Deciphering the Liquidity and Credit Crunch 2007-08
inferredcites →https://doi.org/10.2139/ssrn.1522218openalex-extracted
Ex Ante Skewness and Expected Stock Returns
inferredcites →https://doi.org/10.2139/ssrn.1861584openalex-extracted
Actually this Time is Different
inferredcites →https://doi.org/10.2139/ssrn.487482openalex-extracted
Measurement of Contagion in Banks' Equity Prices
inferredcites →https://doi.org/10.2139/ssrn.688065openalex-extracted
Market Liquidity and Funding Liquidity
inferredcites →https://doi.org/10.2307/1924119openalex-extracted
The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets
inferredcites →https://doi.org/10.3386/w6022openalex-extracted
Asymmetric Volatility and Risk in Equity Markets
inferredcites →https://doi.org/10.3386/w7267openalex-extracted
No Contagion, Only Interdependence: Measuring Stock Market Co-movements
inferredcites →https://doi.org/10.1093/rfs/13.1.1openalex-snapshot
Asymmetric Volatility and Risk in Equity Markets
inferredcites →https://doi.org/10.1111/0022-1082.00494openalex-snapshot
No Contagion, Only Interdependence: Measuring Stock Market Comovements
What points at this work
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inferred← citeshttps://doi.org/10.2139/ssrn.2295218openalex-extracted
A Regime Switching Skew-Normal Model for Measuring Financial Crisis and Contagion
inferred← citeshttps://doi.org/10.1002/ijfe.2025openalex-snapshot
The contagion phenomena of the Brexit process on main stock markets
inferred← citeshttps://doi.org/10.1007/s11079-013-9289-1openalex-snapshot
Contagion and Global Financial Crises: Lessons from Nine Crisis Episodes
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