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Endogenous Extreme Events and the Dual Role of Prices
Danielsson, Jon; Shin, Hyun Song; Zigrand, Jean-Pierre - 2012
that arrive from outside the system. The combination of risk-sensitive behavior rules and the coordinated actions implied … Gaussian. We illustrate such endogenous extreme events through the pricing density resulting from dynamic hedging of options … and the flash crash of May 2010 …
Persistent link: https://www.econbiz.de/10014166131
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Hedging macroeconomic and financial uncertainty and volatility
Dew-Becker, Ian; Giglio, Stefano; Kelly, Bryan T. - 2019
Persistent link: https://www.econbiz.de/10012124936
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Hedging macroeconomic and financial uncertainty and volatility
Dew-Becker, Ian; Giglio, Stefano; Kelly, Bryan T. - 2020
Persistent link: https://www.econbiz.de/10012300973
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Demand for crash insurance, intermediary constraints, and risk premia in financial markets
Chen, Hui; Joslin, Scott; Ni, Sophie Xiaoyan - In: The review of financial studies 32 (2019) 1, pp. 228-265
Persistent link: https://www.econbiz.de/10012033392
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Too-systemic-to-fail : what option markets imply about sector-wide government guarantees
Kelly, Bryan; Lustig, Hanno; Nieuwerburgh, Stijn van - 2012
Persistent link: https://www.econbiz.de/10009577599
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Too-systemic-to-fail : what option markets imply about sector-wide government guarantees
Kelly, Bryan T.; Lustig, Hanno; Nieuwerburgh, Stijn van - In: The American economic review 106 (2016) 6, pp. 1278-1319
Persistent link: https://www.econbiz.de/10011537896
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Too-systemic-to-fail : what option markets imply about sector-wide government guarantees
Kelly, Bryan T.; Lustig, Hanno; Nieuwerburgh, Stijn van - 2011
Persistent link: https://www.econbiz.de/10009231439
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Holding the economy by the tail: analysis of short- and long-run macroeconomic risks
Franta, Michal; Libich, Jan - 2021
Persistent link: https://www.econbiz.de/10012618211
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Hedging Macroeconomic and Financial Uncertainty and Volatility
Dew-Becker, Ian - 2019
We study the pricing of shocks to uncertainty and volatility using a novel and wide-ranging set of options contracts. If uncertainty shocks are viewed as bad by investors, portfolios that hedge them should earn negative premia. Empirically, however, such portfolios have historically earned...
Persistent link: https://www.econbiz.de/10012897413
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Hedging macroeconomic and financial uncertainty and volatility
Dew-Becker, Ian; Giglio, Stefano; Kelly, Bryan T. - In: Journal of financial economics 142 (2021) 1, pp. 23-45
Persistent link: https://www.econbiz.de/10012650655