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The Effects of News Events on Market Contagion: Evidence from the 2007-2009 Financial Crisis. (2014). Chevapatrakul, Thanaset ; Tee, Kai-Hong .
In: Discussion Papers.
RePEc:not:notcfc:14/08.

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  1. Re-examining the Contagion Channels of Global Financial Crises: Evidence from the Twelve Years since the US Subprime Crisis. (2022). Di, Qian ; Xu, Fangming ; Li, Lifang ; Tang, Shenfeng ; Jiang, Hai.
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  2. The contagion effect of jump risk across Asian stock markets during the Covid-19 pandemic. (2022). Liu, Fang ; Chen, Yajiao ; Zhou, Long ; Zhang, YI.
    In: The North American Journal of Economics and Finance.
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  3. Two decades of contagion effect on stock markets: Which events are more contagious?. (2021). Smaga, Pawe ; Kurowski, Ukasz ; Rogowicz, Karol ; Iwanicz-Drozdowska, Magorzata.
    In: Journal of Financial Stability.
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  4. Financial contagion and capital asset pricing in Africa: The impact of the 2007–09 and Euro-Zone crises on natural resources sector Beta in African emerging markets. (2018). Tony-Okeke, Uchenna ; Rodgers, Timothy ; Niklewski, Jacek ; Ahmadu-Bello, Jaliyyah.
    In: Research in International Business and Finance.
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  5. Ripple effects of the 2011 Japan earthquake on international stock markets. (2017). Karali, Berna ; Ferreira, Susana ; Valizadeh, Pourya .
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  6. Time-varying quantile association regression model with applications to financial contagion and VaR. (2017). Liu, Xiaoquan ; Ye, Wuyi ; Luo, Kebing .
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  7. Regulation of securitisation in China: Learning from the US experience. (2016). Ngwu, Franklin N ; Chen, Zheyang .
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  13. The 2008 financial crisis: Stock market contagion and its determinants. (2015). Luchtenberg, Kimberly F. ; Vu, Quang Viet .
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  14. INFLUENCE OF THE ECONOMIC AND FINANCIAL CONDITION OF STRATEGIC SHAREHOLDERS UPON THE MARKET VALUE OF COMMERCIAL BANKS IN THE POLISH BANKING SECTOR. (2014). Korzeb, Zbigniew .
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References

References cited by this document

  1. A.III The quantile regression was first introduced by Koenker and Bassett (1978). The model assumes that Pr (yi Æ | xi) = Fu◊ ! ≠ xÕ i— | xi (17) where i = 1, ..., n, (yi, xi) is a sample from some population and xi is a K ◊ 1 vector of regressors. Readers may be more familiar with representation with the following functional form: yi = xÕ i— + ui (18) and q (yi | xi) = xÕ i— (19) where q (yi | xi) is the conditional quantile of yi conditional on the regressor vector xi. The model assumes further that q (ui | xi) = 0. The estimator of — at the th quantile, ˆ — , is the solution to the following minimisation problem: min — n ÿ i=1 fl (ui ) = min — Y ] [ ÿ i:yiØxÕ i— | yi ≠ xÕ i— | + ÿ i:yiÆxÕ i— (1 ≠ ) | yi ≠ xÕ i— | Z ^ \ (20) where fl (z) is the check function given by fl (z) = z ≠ 1[zÆ0] .
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  48. Over the Cliff: From the Subprime to the Global Financial Crisis. (2011). Mishkin, Frederic.
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  49. Inflation Targeting in Financially Stable Economies: Has it been Flexible Enough?. (2010). García Silva, Pablo ; Cowan, Kevin ; Calani, Mauricio ; Kevin Cowan L., ; Pablo Garcia S., ; Mauricio Calani C., .
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  50. The Financial Market Impact of Unconventional Monetary Policies in the U.S., the U.K., the Eurozone, and Japan. (). Hosono, Kaoru ; Isobe, Shogo .
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