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Learning from history : volatility and financial crises
Daníelsson, Jón; Valenzuela, Marcela; Zer, Ilknur - 2018 - This version: January 2018
Persistent link: https://www.econbiz.de/10012204110
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The nexus between analyst forecast dispersion and expected returns surrounding stock market crashes
Chong, Terence Tai-Leung; Wang, Xiaolei - In: Journal of risk and financial management : JRFM 2 (2009) 1, pp. 75-93
The performance of analysts’ forecasts has attracted increasing attention in recent years. However, as yet, no empirical study has investigated the nexus between the analyst forecast dispersion (AFD) and excess returns surrounding stock market crashes in any depth. This paper attempts to fill...
Persistent link: https://www.econbiz.de/10011556115
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The role of multivariate skew-student density in the estimation of stock market crashes
Wu, Lei; Meng, Qingbin; Velazquez, Julio C. - In: The European journal of finance 21 (2015) 13/15, pp. 1144-1160
Persistent link: https://www.econbiz.de/10011419786
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Time series analysis for financial market meltdowns
Kim, Young Shin; Račev, Svetlozar T.; Bianchi, Michele … - 2010
There appears to be a consensus that the recent instability in global financial markets may be attributable in part to the failure of financial modeling. More specifically, current risk models have failed to properly assess the risks associated with large adverse stock price behavior. In this...
Persistent link: https://www.econbiz.de/10008653556
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Volatility Skew, Earnings Announcements, and the Predictability of Crashes
Van Buskirk, Andrew - 2011
This paper examines the relation between firm-level implied volatility skew and the likelihood of extreme negative … events, or crash risk. I show that volatility skew identifies which firms are likely to experience crashes, but only in short …-window earnings announcement periods. The predictive power is incremental to the information in historical volatility, financial …
Persistent link: https://www.econbiz.de/10013131489
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Forecasting the realized volatility of stock markets with financial stress
Guo, Chuan; Feng, Yiyun - In: Journal of risk 25 (2022) 1, pp. 23-48
Persistent link: https://www.econbiz.de/10013549680
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Hurst Dynamics of S&P500 Returns : Implications and Impact on Market Efficiency, Long Memory, Multifractality and Financial Crises Predictability
Vogl, Markus; Roetzel, Peter Gordon - 2021
In this study, we apply a rolling window approach to wavelet-filtered (denoised) S&P500 returns (2000–2020) to obtain time varying Hurst exponents. We analyse the dynamics of the Hurst exponents by applying statistical tests (e.g., for stationarity, Gaussianity and self-similarity), a...
Persistent link: https://www.econbiz.de/10013229642
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Cross-sectional uncertainty and stock market volatility : new evidence
Lu, Fei; Ma, Feng - In: Finance research letters 57 (2023), pp. 1-7
Persistent link: https://www.econbiz.de/10014513322
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Stock Market Bubbles and the Forecastability of Goldreturns (and Volatility)
Gabauer, David; Gupta, Rangan; Karmakar, Sayar; … - 2023
forecast gold returns and its volatility, usinga method involving block means of residuals obtained from the popular …,can accurately forecast gold returns at short- to medium-term, and also time-varyingestimates of gold returns volatility to a lesser …
Persistent link: https://www.econbiz.de/10014353907
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An overhaul of Federal Reserve doctrine : nominal income and the great moderation
Hendrickson, Joshua R. - In: Journal of macroeconomics 34 (2012) 2, pp. 304-317
Persistent link: https://www.econbiz.de/10009689408