Zobrazeno 1 - 8
of 8
pro vyhledávání: '"Lisa Sheenan"'
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::6c9973825f1e8fe3c008a301fa3ff3ea
https://doi.org/10.2139/ssrn.4449029
https://doi.org/10.2139/ssrn.4449029
Publikováno v:
Flavin, T, Dungey, M & Sheenan, L 2021, ' Banks and sovereigns: did adversity bring them closer? ', European Journal of Finance . https://doi.org/10.1080/1351847X.2021.1910056
We analyse the stability of the cross-market shock transmission mechanism between banks and sovereign bonds during the Eurozone sovereign debt crisis for crisis-hit periphery countries and Germany. We also examine the shock propagation of banking sho
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::d251369b4c6b7be26b97e7979c92af3c
https://doi.org/10.1080/1351847X.2021.1910056
https://doi.org/10.1080/1351847X.2021.1910056
Publikováno v:
Kearney, F, Shang, H L & Sheenan, L 2019, ' Implied volatility surface predictability: The case of commodity markets ', Journal of Banking & Finance, vol. 108, 105657 . https://doi.org/10.1016/j.jbankfin.2019.105657
Recent literature seek to forecast implied volatility derived from equity, index, foreign exchange, and interest rate options using latent factor and parametric frameworks. Motivated by increased public attention borne out of the financialization of
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::a0d21d415486862d0e8342f7400b10f3
Autor:
Lisa Sheenan
Publikováno v:
Eurasian Business Perspectives ISBN: 9783319679129
The devastating credit crunch and subsequent liquidity freeze of 2007–2008 plunged the global financial market into one of its worst crises ever experienced. It is now clear that subprime mortgage-backed securities lay at the heart of this catastro
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::c7b6520c7833d2439950bef7f5fb3438
https://doi.org/10.1007/978-3-319-67913-6_5
https://doi.org/10.1007/978-3-319-67913-6_5
Autor:
Lisa Sheenan
Publikováno v:
Sheenan, L 2017, ' Analysing Contagion from the U.S. Subprime Mortgage-Backed Securities Market. ', Eurasian Journal of Economics and Finance, vol. 5, no. 4, pp. 85-123 . https://doi.org/10.15604/ejef.2017.05.04.006
Eurasian Journal of Economics and Finance, Vol 5, Iss 4, Pp 85-123 (2017)
Eurasian Journal of Economics and Finance, Vol 5, Iss 4, Pp 85-123 (2017)
This paper analyzes contagion from the U.S. subprime mortgage-backed securities market, represented by the ABX.HE indices, to several fixed income, equity and volatility markets in line with seminal literature on the subject. We analyze ‘spliced’
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::608e4570f3bccda8cffe65cc69757666
https://pure.qub.ac.uk/en/publications/analysing-contagion-from-the-us-subprime-mortgagebacked-securities-market(502a5110-b78f-483a-979e-fbe181694e2f).html
https://pure.qub.ac.uk/en/publications/analysing-contagion-from-the-us-subprime-mortgagebacked-securities-market(502a5110-b78f-483a-979e-fbe181694e2f).html
We test for contagion between Eurozone bond markets during the sovereign debt crisis. Using a three-regime Markov-switching VAR, we identify two distinct crisis phases (the bad and the ugly) with differing patterns of shock transmission. Evidence of
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::8aed7de7a680fb4825eb1fe19c424a24
https://doi.org/10.1016/j.econlet.2016.02.031
https://doi.org/10.1016/j.econlet.2016.02.031
Autor:
Thomas Flavin, Lisa Sheenan
Though relatively small, the subprime mortgage-backed securities market is often identified as the source of the crisis that swept through the U.S. financial system from 2007 onwards. We investigate if its role in the propagation of the crisis was du
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od_______645::597847879f9e568b9a3e1ff3cf781637
http://repec.maynoothuniversity.ie/mayecw-files/N260-15.pdf
http://repec.maynoothuniversity.ie/mayecw-files/N260-15.pdf
Autor:
Lisa Sheenan, Thomas Flavin
Though relatively small, the subprime mortgage-backed securities market is often identified as the source of the crisis that swept through the U.S. financial system from 2007 onwards. We investigate if its role in the propagation of the crisis was du
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::f106b7104c2bec67cd87ec8834899f52
http://eprints.maynoothuniversity.ie/8013/
http://eprints.maynoothuniversity.ie/8013/