Essays on Financial Risks and the Subprime Crisis
This thesis covers the impact of the financial crisis of 2007-2009, the non-linearity in the impact of bankruptcy risk on leverage and the effect of pessimism and doubt on the equity premium. It consists of four self-contained essays. The first essay develops a framework to investigate the impact of the financial crisis starting in 2007 and employs an extended GARCH model to test for spillover and