Contagion Phenomena with Applications in Finance

Written By Serge Darolles
Contagion Phenomena with Applications in Finance
  • Publsiher : Elsevier
  • Release : 26 August 2015
  • ISBN : 0081004788
  • Pages : 166 pages
  • Rating : /5 from reviews
GET THIS BOOKContagion Phenomena with Applications in Finance


Download or read book entitled Contagion Phenomena with Applications in Finance by author: Serge Darolles which was release on 26 August 2015 and published by Elsevier with total page 166 pages . This book available in PDF, EPUB and Kindle Format. Much research into financial contagion and systematic risks has been motivated by the finding that cross-market correlations (resp. coexceedances) between asset returns increase significantly during crisis periods. Is this increase due to an exogenous shock common to all markets (interdependence) or due to certain types of transmission of shocks between markets (contagion)? Darolles and Gourieroux explain that an attempt to convey contagion and causality in a static framework can be flawed due to identification problems; they provide a more precise definition of the notion of shock to strengthen the solution within a dynamic framework. This book covers the standard practice for defining shocks in SVAR models, impulse response functions, identitification issues, static and dynamic models, leading to the challenges of measurement of systematic risk and contagion, with interpretations of hedge fund survival and market liquidity risks Features the standard practice of defining shocks to models to help you to define impulse response and dynamic consequences Shows that identification of shocks can be solved in a dynamic framework, even within a linear perspective Helps you to apply the models to portfolio management, risk monitoring, and the analysis of financial stability

Contagion Phenomena with Applications in Finance

Contagion Phenomena with Applications in Finance
  • Author : Serge Darolles,Christian Gourieroux
  • Publisher : Elsevier
  • Release Date : 2015-08-26
  • Total pages : 166
  • ISBN : 0081004788
GET BOOK

Summary : Much research into financial contagion and systematic risks has been motivated by the finding that cross-market correlations (resp. coexceedances) between asset returns increase significantly during crisis periods. Is this increase due to an exogenous shock common to all markets (interdependence) or due to certain types of transmission of shocks between ...

Exam Prep for Contagion Phenomena With Applications in

Exam Prep for  Contagion Phenomena With Applications in
  • Author : Anonim
  • Publisher : Unknown
  • Release Date : 2021-05-14
  • Total pages : 212
  • ISBN : 0081004788
GET BOOK

Summary : Read online Exam Prep for Contagion Phenomena With Applications in written by , published by which was released on . Download full Exam Prep for Contagion Phenomena With Applications in Books now! Available in PDF, ePub and Kindle....

Recent Advances and Applications in Alternative Investments

Recent Advances and Applications in Alternative Investments
  • Author : Zopounidis, Constantin,Kenourgios, Dimitris,Dotsis, George
  • Publisher : IGI Global
  • Release Date : 2020-02-07
  • Total pages : 385
  • ISBN : 0081004788
GET BOOK

Summary : In recent years, there has been a swell of investment opportunities in contemporary asset classes that have gained considerable attention, including cryptocurrencies, hedge funds, and private equity. These alternative investments provide the opportunity to enhance the diversification of financial portfolios and harvest risk premiums that traditional assets like stocks and ...

A Model of Contagious Currency Crises with Application to Argentina

A Model of Contagious Currency Crises with Application to Argentina
  • Author : Nada Choueiri
  • Publisher : International Monetary Fund
  • Release Date : 1999-03
  • Total pages : 26
  • ISBN : 0081004788
GET BOOK

Summary : On December 20, 1994, Mexico was forced into a 15 percent devaluation followed by the adoption of a floating exchange rate, after a speculative attack reduced its stock of foreign exchange reserves to $6 billion, down from $29 billion in February of that year. Soon afterwards, Argentina, and to a lesser extent Brazil, suffered from ...

Identifying International Financial Contagion

Identifying International Financial Contagion
  • Author : Deputy Director Center for Applied Macroeconomic Analysis Mardi Dungey,Mardi Dungey,Demosthenes Nicholas Tambakis,Senior Research Fellow Cambridge Endowment for Research in Finance Demosthenes N Tambakis
  • Publisher : Oxford University Press on Demand
  • Release Date : 2005
  • Total pages : 240
  • ISBN : 0081004788
GET BOOK

Summary : This book tackles these factors theoretically, providing an intellectually satisfying framework for the understanding of financial contagion."--Jacket....

Financial Crises

Financial Crises
  • Author : Franklin Allen,Douglas Gale
  • Publisher : Edward Elgar Pub
  • Release Date : 2008
  • Total pages : 579
  • ISBN : 0081004788
GET BOOK

Summary : This important volume presents key contributions to the study of financial crises from many different areas of economics. The book offers an economic history of financial crises, empirical studies of crises in the modern era, and classic works on the theory of banking crises. It also covers specialized topics, with ...

Papers and Proceedings of the Annual Meeting

Papers and Proceedings of the Annual Meeting
  • Author : American Economic Association
  • Publisher : Unknown
  • Release Date : 2007
  • Total pages : 212
  • ISBN : 0081004788
GET BOOK

Summary : Read online Papers and Proceedings of the Annual Meeting written by American Economic Association, published by which was released on 2007. Download full Papers and Proceedings of the Annual Meeting Books now! Available in PDF, ePub and Kindle....

Financial Liberalisation in Asia

Financial Liberalisation in Asia
  • Author : Publishing Oecd Publishing,Organisation for Economic Co-operation and Development. Development Centre,Asian Development Bank,France) International Forum on Asian Perspectives 1998 (Paris
  • Publisher : Development Centre Seminars
  • Release Date : 1999
  • Total pages : 199
  • ISBN : 0081004788
GET BOOK

Summary : This volume examines the roots of the Asian financial crisis and suggests several constructive approaches to crisis revolution....

Panel Markov switching Models of Economic Phenomena

Panel Markov switching Models of Economic Phenomena
  • Author : Paul Victor Hamilton
  • Publisher : Unknown
  • Release Date : 2002
  • Total pages : 334
  • ISBN : 0081004788
GET BOOK

Summary : Read online Panel Markov switching Models of Economic Phenomena written by Paul Victor Hamilton, published by which was released on 2002. Download full Panel Markov switching Models of Economic Phenomena Books now! Available in PDF, ePub and Kindle....

The Economist

The Economist
  • Author : Anonim
  • Publisher : Unknown
  • Release Date : 2011
  • Total pages : 212
  • ISBN : 0081004788
GET BOOK

Summary : Read online The Economist written by , published by which was released on 2011. Download full The Economist Books now! Available in PDF, ePub and Kindle....

UNU Nexions

UNU Nexions
  • Author : United Nations University
  • Publisher : Unknown
  • Release Date : 1999
  • Total pages : 212
  • ISBN : 0081004788
GET BOOK

Summary : Read online UNU Nexions written by United Nations University, published by which was released on 1999. Download full UNU Nexions Books now! Available in PDF, ePub and Kindle....

Financial Stability Review

Financial Stability Review
  • Author : Anonim
  • Publisher : Unknown
  • Release Date : 2006
  • Total pages : 212
  • ISBN : 0081004788
GET BOOK

Summary : Read online Financial Stability Review written by , published by which was released on 2006. Download full Financial Stability Review Books now! Available in PDF, ePub and Kindle....

Credit Frictions and sudden Stops in Small Open Economies

Credit Frictions and  sudden Stops  in Small Open Economies
  • Author : Cristina Arellano,Enrique G. Mendoza
  • Publisher : Unknown
  • Release Date : 2002
  • Total pages : 68
  • ISBN : 0081004788
GET BOOK

Summary : Financial frictions are a central element of most of the models that the literature on emerging markets crises has proposed for explaining the Sudden Stop' phenomenon. To date, few studies have aimed to examine the quantitative implications of these models and to integrate them with an equilibrium business cycle framework ...

Asian Economic Papers

Asian Economic Papers
  • Author : Anonim
  • Publisher : Unknown
  • Release Date : 2006
  • Total pages : 212
  • ISBN : 0081004788
GET BOOK

Summary : Read online Asian Economic Papers written by , published by which was released on 2006. Download full Asian Economic Papers Books now! Available in PDF, ePub and Kindle....

Bulletin de L Institut International de Statistique

Bulletin de L Institut International de Statistique
  • Author : International Statistical Institute
  • Publisher : Unknown
  • Release Date : 2003
  • Total pages : 212
  • ISBN : 0081004788
GET BOOK

Summary : V. 1-5, v. 7-10 include "Bulletin bibliographique."...