Now showing items 4-7 of 7

    • International financial contagion: what do we know? 

      Dungey, Mardi; Tambakis, Demosthenes N (CFAP, Cambridge Judge Business School, University of Cambridge, 2003-07)
      This paper attempts a synthesis of theoretical and empirical work on international financial contagion. Although a professional consensus on the appropriate definitions of contagion has yet to emerge, we document substantial ...
    • On strategic default and liquidity risk 

      Tambakis, Demosthenes N (CFAP, Cambridge Judge Business School, University of Cambridge, 2002)
      How does the uncertain provision of external finance affect investment projects' default probability and liquidity risk? In this paper, I study the strategic interaction between many creditors and a single borrower in the ...
    • Testing for changing persistence in US treasury on/off spreads under weighted-symmetric estimation 

      Smith, L Vanessa; Tambakis, Demosthenes N (CFAP, Cambridge Judge Business School, University of Cambridge, 2010)
      We extend the recursive break test procedure of Leybourn et al. by using weighted-symmetric estimation to detect a single change in time series persistence. An application to U.S. Treasury bond on/off spreads finds a ...
    • The US treasury market in August 1998: untangling the effects of Hong Kong and Russia with high frequency data 

      Dungey, Mardi; Goodheart, Charles; Tambakis, Demosthenes N (CFAP, Cambridge Judge Business School, University of Cambridge, 2005-09)
      The second half of August 1998 was dominated by two events. From 14 to 28 August, the Hong Kong Monetary Authority (HKMA) intervened in the Hong Kong equity markets to prevent a speculative double play against their ...