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Stock market volatility in OECD countries : recent trends, consequences for the real economy, and proposals for reform

Kupiec, Paul H. - In: OECD journal: economic studies (1991), pp. 31-62

Persistent link: https://www.econbiz.de/10001115527

Futures margins and stock price volatility : is there any link?

Kupiec, Paul H. - In: The journal of futures markets 13 (1993) 6, pp. 677-691

Persistent link: https://www.econbiz.de/10001149382

Noise traders, excess volatility, and a securities transactions tax

Kupiec, Paul H. - In: Journal of financial services research : JFSR 10 (1996) 2, pp. 115-129

Persistent link: https://www.econbiz.de/10001202857

Financial liberalisation and international trends in stock, corporate bond and foreign exchange market volatilities

Kupiec, Paul H. - 1991

Persistent link: https://www.econbiz.de/10000809302

A primer on program trading and stock price volatility : a survey of the issues and the evidence

Duffee, Greg - 1992

Persistent link: https://www.econbiz.de/10001134320

Do stock prices exhibit excess volatility, frequently deviate from fundamental values, and generally behave inefficiently?

Kupiec, Paul H. - In: Financial markets, institutions & instruments 2 (1993) 1, pp. 1-61

Persistent link: https://www.econbiz.de/10001141599

Animal spirits, margin requirements, and stock price volatility

Kupiec, Paul H. - In: The journal of finance : the journal of the American … 46 (1991) 2, pp. 717-731

Persistent link: https://www.econbiz.de/10001108673

Testing for Systemic Risk Using Stock Returns

Kupiec, Paul - 2015

Conditional value at risk (CoVaR) and marginal expected shortfall (MES) have been proposed as stock return based measures of the systemic risk created by individual financial institutions even though the literature provides no formal hypothesis test for detecting systemic risk. We address this...

Persistent link: https://www.econbiz.de/10013029850