Was a deterioration in 'connectedness' a leading indicator of the European sovereign debt crisis?
Pantelous, A. A., Hamill, P. A., Hamill, P., Li, Y., Pantelous, A., Vigne, S. A., & Waterworth, J. (2021). Was a deterioration in ‘connectedness’ a leading indicator of the European sovereign debt crisis?. Journal of International Financial Markets, Institutions and Money, https://doi.org/10.1016/j.intfin.2021.101300
Professor Li's main research interests include asset pricing, financial econometrics, heterogeneous agent models of financial markets, longevity risk, market microstructure, and quantitative finance.
Professor Li welcomes applications in the areas of asset pricing and empirical studies of financial markets.