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Financial contagion and asset pricing

Fry-McKibbin, Renee Anne; Martin, Vance L.; Tang, Chrismin

Description

Asset market interconnectedness can give rise to significant contagion risks during periods of financial crises that extend beyond the risks associated with changes in volatilities and correlation. These channels include the transmission of shocks operating through changes in the higher order comoments of asset returns, including changes in coskewness arising from changes in the interaction between volatility and average returns across asset markets. These additional contagion channels have...[Show more]

CollectionsANU Research Publications
Date published: 2013-08
Type: Working/Technical Paper
URI: http://hdl.handle.net/1885/11623
Source: Journal of Banking and Finance
DOI: 10.1016/j.jbankfin.2014.05.002

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