BEHAVIOUR OF FINANCIAL MARKETS DURING THE SUBPRIME CRISIS
نویسندگان
چکیده
منابع مشابه
The subprime credit crisis and contagion in financial markets
I conduct an empirical investigation into the pricing of subprime asset-backed collateralized debt obligations (CDOs) and their contagion effects on other markets. Using data for the ABX subprime indexes, I find strong evidence of contagion in the financial markets. The results support the hypothesis that financial contagion was propagated primarily through liquidity and risk-premium channels, ...
متن کاملFinancial Markets during Economic Crisis
Contemporary financial depression of the financial markets proves high fluctuations of the prices of the stocks. These fluctuations have considerable impact on the values of the financial portfolios. Classical approaches to modeling of the behavior of the prices of the stocks may produce wrong predictions of their future values. That is the reason why we introduce in this paper the fractal mark...
متن کاملDating the Timeline of Financial Bubbles during the Subprime Crisis By
A new recursive regression methodology is introduced to analyze the bubble characteristics of various financial time series during the subprime crisis. The methods modify a technique proposed in Phillips, Wu, and Yu (2011) and provide a technology for identifying bubble behavior with consistent dating of their origi-nation and collapse. The tests serve as an early warning diagnostic of bubble a...
متن کاملSystemic Risk in the Financial Sector: An Analysis of the Subprime-Mortgage Financial Crisis
The paper analyses the causes of the current crisis of the global financial system, with particular emphasis on the systemic elements that turned the crisis of subprime mortgage-backed securities in the United States, a small part of the overall system, into a worldwide crisis. The first half of the paper explains the role of mortgage securitization as a mechanism for allocating risks from real...
متن کاملOptions Pricing in Jump Diffusion Markets during Financial Crisis
In this paper, we suggest a jump diffusion model in markets during financial crisis. Using risk-neutral pricing, we derive a partial differential equation (P.D.E.) for the prices of European options. We find a closed form solution of the P.D.E. in the particular case where the stock price is too large. Then, we use such a solution as a boundary condition in the numerical treatment of the P.D.E....
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: INTERNATIONAL JOURNAL OF MANAGEMENT & INFORMATION TECHNOLOGY
سال: 2016
ISSN: 2278-5612
DOI: 10.24297/ijmit.v11i2.4857