We propose a tractable framework for quantifying the impact of fire sales on the volatility and correlations of asset … returns and provide a quantitative explanation for spikes in volatility and correlations observed during liquidation of large … our estimation methodology with two empirical examples: the hedge fund losses of August 2007 and the Great Deleveraging …

This paper attempts to provide evidence of "shift-volatility" transmission in the East Asian equity markets. By shift-volatility …, we mean the volatility shifts from a low level to a high level, corresponding respectively to tranquil and crisis periods …, Singapore, Thailand and the United States. Our main issue is whether shift-volatility needs to be considered as a regional …

New fast estimation methods stemming from control theory lead to a fresh look at time series, which bears some … of the volatility with respect to the forecasted trendline, are provided. $\mathcal{Z}$-transform and differential …

small time lag. We provide indicators to measure this phenomenon using tick-by-tick data. Strongly asymmetric cross-correlation … (short intertrade duration, narrow bid/ask spread, small volatility, high turnover) tend to lead smaller stocks. However, the …

In this paper, a study of a stochastic volatility model for asset pricing is described. Originally presented by J. Da … Fonseca, M. Grasselli and C. Tebaldi, the Wishart volatility model identifies the volatility of the asset as the trace of a … the stochastic correlation. Thanks to its flexibility, this model enables a better fit of market data than the Heston …

the CAPM. These results reveal that carbon, gas, coal and bond assets share the best properties for composing an optimal … diversified portfolio composed of energy (oil, gas, coal), weather, bond, equity risky assets, and of a riskless asset (U.S. T …

We compare the risk neutral pricing model with the CAPM when it is understood that both models are incorrect. We show …