All Outputs (3)

Tracing the Sources of Contagion in the Oil-Finance Nexus (2022)
Book Chapter
Legrenzi. (2022). Tracing the Sources of Contagion in the Oil-Finance Nexus. In Applications in Energy Finance, The Energy Sector, Economic Activity, Financial Markets, and the Environment (115-143). https://doi.org/10.1007/978-3-030-92957-2_5

We introduce an approach to trace the genesis of contagion occurring in the oil-finance nexus, which consolidates veteran non-linear oil price measures derived from the empirical oil literature, to construct a rule-based specification for filtering s... Read More about Tracing the Sources of Contagion in the Oil-Finance Nexus.

Ukraine and the financial markets: the winners and losers so far (2022)
Digital Artefact
Legrenzi, G., Heinlein, R., & Mahadeo, S. (2022). Ukraine and the financial markets: the winners and losers so far. [Blog Style Article]

Contagion testing in frontier markets under alternative stressful S&P 500 market scenarios (2022)
Journal Article
Mahadeo, S. M., Heinlein, R., & Legrenzi, G. (2022). Contagion testing in frontier markets under alternative stressful S&P 500 market scenarios. North American Journal of Economics and Finance, 60, Article 101629. https://doi.org/10.1016/j.najef.2021.101629

We use alternative approaches to identify stable and stressful scenarios in the S&P 500 market, to offer a new perspective for constructing contagion tests in recipient frontier markets vulnerable to disturbances from this source market. The S&P 500... Read More about Contagion testing in frontier markets under alternative stressful S&P 500 market scenarios.