Extreme asymmetric volatility : stress and aggregate asset prices
Year of publication: |
March 2016
|
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Authors: | Aboura, Sofiane ; Wagner, Niklas F. |
Published in: |
Journal of international financial markets, institutions & money. - Amsterdam : Elsevier, ISSN 1042-4431, ZDB-ID 1117317-8. - Vol. 41.2016, p. 47-59
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Subject: | Market volatility | Asymmetric volatility | Leverage effect | Volatility feedback | Market stress | Financial stability | Systemic risk | Extreme volatility | Aggregate asset prices | Volatilität | Volatility | Finanzmarkt | Financial market | Börsenkurs | Share price | Finanzkrise | Financial crisis | Kapitaleinkommen | Capital income | ARCH-Modell | ARCH model | Theorie | Theory | Aktienmarkt | Stock market | Systemrisiko |
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