C/- University of Queensland Business School
St Lucia, 4071 Brisbane
University of Tasmania
in Total Papers Downloads
banking, insurance, systemic risk
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asset backed securities, subprime mortgages, financial crisis, factor models, Kalman Filter
Global financial crisis, financial contagion, financial markets
Contagion, Structural GARCH, Global Financial Crisis
Structural VECM Models, Term Premium, Crisis
monetary policy, central banks, latent factor model
trend-cycle decomposition, data revision, state-space form
data revisions, state-space models, Kalman filter, Kalman smoother, trend-cycle decomposition
Historical decomposition, DY Spillover, Granger Causality, Networks
network, sovereign debt, financial institutions, systemic risk, contagion
Flight-to-safety, Flight-to-quality, Mutual excitation in jumps, High frequency data, Stock-bond comovement
Global financial crisis, financial contagion, banking institutions, asset pricing, GARCH
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