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Predicting the VIX and the volatility risk premium : what's credit and commodity volatility risk got to do with it? Elena Andreou and Eric Ghysels
Andreou, Elena; Ghysels, Eric - 2014
Persistent link: https://www.econbiz.de/10010440191
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Modelling scale consistent VAR with the truncated Lévy flight
Lehnert, Thorsten - 2001
Persistent link: https://www.econbiz.de/10013423320
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Endogenous market thinness and stock price volatility
Pagano, Marco - 1986
Persistent link: https://www.econbiz.de/10000705299
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Belief dispersion in the stock market
Atmaz, Adem; Başak, Suleyman - 2017
Persistent link: https://www.econbiz.de/10011675962
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The origins of stock market fluctuations
Greenwald, Daniel L.; Lettau, Martin; Ludvigson, Sydney C. - 2015
Persistent link: https://www.econbiz.de/10010482972
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Market stress and herding
Hwang, Soosung; Salmon, Mark H. - 2004
Persistent link: https://www.econbiz.de/10002045646
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Are stocks really less volatile in the long run?
Pástor, Ľuboš; Stambaugh, Robert F. - 2009
Persistent link: https://www.econbiz.de/10003830679
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The impact of creditor protection on stock prices in the presence of credit crunches
Hale, Galina; Razin, Asaf; Tong, Hui - 2009
Persistent link: https://www.econbiz.de/10003875765
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Creditor protection, contagion, and stock market price volatility
Hale, Galina; Razin, Asaf; Tong, Hui - 2008
Persistent link: https://www.econbiz.de/10003669549
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Credit constraints and stock price volatility
Hale, Galina; Razin, Asaf; Tong, Hui - 2007
Persistent link: https://www.econbiz.de/10003473567