Time-varying crash risk: The role of stock market liquidity
Year of publication: |
2016
|
---|---|
Authors: | Christoffersen, Peter F. ; Feunou, Bruno ; Jeon, Yoontae ; Ornthanalai, Chayawat |
Publisher: |
Ottawa : Bank of Canada |
Subject: | Asset pricing | Financial stability | Econometric and statistical methods |
Series: | Bank of Canada Staff Working Paper ; 2016-35 |
---|---|
Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 10.34989/swp-2016-35 [DOI] 865174458 [GVK] hdl:10419/148142 [Handle] RePEc:bca:bocawp:16-35 [RePEc] |
Classification: | G01 - Financial Crises ; G12 - Asset Pricing |
Source: |
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Time-varying crash risk : the role of stock market liquidity
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