Financial contagion and asset pricing
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]
|Collections||ANU Research Publications|
|Source:||Journal of Banking and Finance|
|Fry-McKibbin et. al. Financial contagion and asset (2013).pdf||545.02 kB||Adobe PDF|
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