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- W3123131430 abstract "We examine the nature, extent and possible causes of bank contagion in a high frequency setting. Looking at six major European banks in the summer and autumn of 2008, we model the lower coexceedances of these banks returns. We find that market microstructure, volatility (measured by range based measures) and limited general market conditions are key determinants of these coexceedances. We find some evidence that herding occurred." @default.
- W3123131430 created "2021-02-01" @default.
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- W3123131430 date "2009-10-01" @default.
- W3123131430 modified "2023-09-23" @default.
- W3123131430 title "Investigating the Determinants of Banking Coexceedances in Europe in the Summer of 2008" @default.
- W3123131430 hasPublicationYear "2009" @default.
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