Browsing Trinity Business School (Scholarly Publications) by Subject "Contagion"
Now showing items 1-2 of 2
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Investigating the Determinants of Banking Coexceedances in Europe in the Summer of 2008
(2010)We examine the nature, extent and possible causes of bank contagion in a high frequency setting. Looking at six major European banks in the summer and autumn of 2008, we model the lower coexceedances of these banks returns. ... -
Modelling asymmetric conditional dependence between Shanghai and Hong Kong stock markets
(2017)This paper investigates the asymmetric conditional dependence between Shanghai and Hong Kong stock index returns, to assess the impact of the recent financial recession on Chinese equity markets using the Copula approach. ...