Listar Artículos y borradores de administración – Working papers por autor "Cayón Fallon, Edgardo"
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Testing contagion with propensity matching estimators : a three country empirical example
Cayón Fallon, Edgardo; Sarmiento Sabogal, Julio Alejandro (EuroJournals, 2014)We analyse the effect of the Global Financial Crisis (GFC) on portfolios of USD denominated sovereign bonds. We use propensity matching estimators in order to measure the average difference in the volatility of sovereign ... -
Testing for contagion from oil and developed markets to emerging markets : an empirical analysis using systemic risk parameter
Cayón Fallon, Edgardo; Sarmiento Sabogal, Julio Alejandro (Centrum Badan Socjologicznych, 2020)This paper analyses the volatility transmission from changes in prices in oil and developed stock markets to emerging markets. We test for volatility contagion from these two factors while allowing for interaction between ...