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Stochastic equity volatility related to the leverage effect
Bensoussan, Alain; Crouhy, Michel; Galai, Dan - 1994
Persistent link: https://www.econbiz.de/10000909451
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Measuring risk-adjusted performance
Crouhy, Michel; Turnbull, Stuart M.; Wakeman, Lee M. - In: Innovations in risk management : seminal papers from …, (pp. 599-636). 2004
Persistent link: https://www.econbiz.de/10002600696
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Volatility clustering, asymmetry and hysteresis in stock returns : international evidence
Crouhy, Michel - In: Financial engineering and the Japanese markets 4 (1997) 1, pp. 1-35
Persistent link: https://www.econbiz.de/10001222633
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Volatility clustering, asymmetry and hysteresis in stock returns : international evidence
Crouhy, Michel; Rockinger, Michael - 1994
Persistent link: https://www.econbiz.de/10000907916
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Seasonality in outliers of daily stock returns : a tail that wags the dog?
Galai, Dan; Kedar-Levy, Haim; Shraiber, Bentsi - In: International review of financial analysis 17 (2008) 5, pp. 784-792
Persistent link: https://www.econbiz.de/10003792193
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The "ostrich effect" and the relationship between the liquidity and the yields of financial assets
Galai, Dan; Sade, Orly - In: The journal of business : B 79 (2006) 5, pp. 2741-2759
Persistent link: https://www.econbiz.de/10003406559