The Sub-Prime Crisis and Systemic Risk: Evidence from US Securities Markets

Leonce Bargeron, Kenneth Lehn and Mehmet Yalin
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Leonce Bargeron: University of Pittsburgh, USA
Kenneth Lehn: University of Pittsburgh, USA
Mehmet Yalin: University of Pittsburgh, USA

Chapter 20 in Globalization and Systemic Risk, 2009, pp 299-312 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThe following sections are included:IntroductionObserved VolatilitiesImplied VolatilitiesSkewRegression ResultsConclusionReferences

Keywords: Globalization; Banking; Financial Markets; Systemic Risk; Financial Crisis; Contagion (search for similar items in EconPapers)
Date: 2009
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