The impact of financial crises on the risk-return tradeoff and the leverage effect
Year of publication: |
2012-05
|
---|---|
Authors: | Christensen, Bent Jesper ; Nielsen, Morten Ørregaard ; Zhu, Jie |
Institutions: | Economics Department, Queen's University |
Subject: | FIEGARCH-M | financial crises | financial leverage | international markets | long memory | risk-return tradeoff | stock returns | volatility feedback |
-
The impact of financial crises on the risk-return tradeoff and the leverage effect
Christensen, Bent Jesper, (2012)
-
The impact of financial crises on the risk-return tradeoff and the leverage effect
Christensen, Bent Jesper, (2012)
-
The impact of financial crises on the risk-return tradeoff and the leverage effect
Christensen, Bent Jesper, (2012)
- More ...
-
Long memory in stock market volatility and the volatility-in-mean effect: the FIEGARCH-M model
Christensen, Bent Jesper, (2009)
-
Busch, Thomas, (2008)
-
The Implied-Realized Volatility Relation with Jumps in Underlying Asset Prices
Christensen, Bent Jesper, (2005)
- More ...