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Kun Huang, Qiuge Yao and Chong Li
Given ongoing financial disintermediation and the need for central banks to establish interest rate corridors, commercial banks have increasingly enriched their asset allocation choices, forming an allocation pattern that combines traditional credit asse...
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Yingxu Tian and Zhongyang Sun
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Wendy Sidon Meira de Oliveira,André Nunes Maranhão
Pág. 569 - 603
We present in this study the results of volatility spillover in the Brazilian stock market, measured by conditional correlations. Using GARCH multivariate conditional correlations were estimated at 3 different models combining the Ibovespa index of the t...
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Khaldoun Maddallah Al-Qaisi,Rafat Mohd Soudki Al-Batayneh
Pág. 697 - 700
The recent global economic downturn that erupted in the mid 2007 saw an increase of the Credit Default Swaps (CDS) by hundred basis points and severe liquidity crunch in the financial sector of the United States. The recession phase highlighted the impor...
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Kalu O. Emenike
AbstractThe direction and intensity of volatility transmission between the money and stock markets are important for portfolio selection and diversification, optimal hedging strategy, financial market regulation, and risk management. The purpose of this ...
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Christos Kollias, Stephanos Papadamou and Costas Siriopoulos
Terrorist incidents exert a negative, albeit usually short-lived, impact on markets and equity returns. Given the integration of global financial markets, mega-terrorist events also have a high contagion potential with their shock waves being transmitted...
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Hsien-Yi Lee
Pág. 41 - 53
The sub prime mortgages crises took place in July, 2007 in US which causes the large scare in the global financial markets, and the international stock and foreign market suffer heavy shock. Using twenty international stock indexes, this study examines w...
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Lynne M. Dearborn
Pág. 5 - 11
Shock waves from the current housing crisis that still echo through Wall Street?s largest financial firms, not only have threatened to topple financial markets and drive the country into a depression, but have also undermined the all-time high home owner...
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