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Bloom, Nicholas - 2014

Persistent link: https://www.econbiz.de/10010475525

Asymmetric connectedness of stocks : how does bad and good volatility spill over the US stock market?

Barunik, Jozef; Kočenda, Evžen; Vácha, Lukáš - 2014

Asymmetries in volatility spillovers are highly relevant to risk valuation and portfolio diversification strategies in … volatility may spill over at different magnitudes. This paper fills this gap with two contributions. One, we suggest how to … quantify asymmetries in volatility spillovers due to bad and good volatility. Two, using high frequency data covering most …

Persistent link: https://www.econbiz.de/10010407529

COVID-induced economic uncertainty

Baker, Scott; Bloom, Nicholas; Davis, Steven J.; Terry, … - 2020

Persistent link: https://www.econbiz.de/10012204869

Can we use volatility to diagnose financial bubbles? : lessons from 40 historical bubbles

Sornette, Didier; Cauwels, Peter; Smilyanov, Georgi - In: Quantitative finance and economics 2 (2018) 1, pp. 1-105

Persistent link: https://www.econbiz.de/10012137897

Asset pricing with disagreement and uncertainty about the length of business cycles

Andrei, Daniel; Carlin, Bruce Ian; Hasler, Michael - In: Management science : journal of the Institute for … 65 (2019) 6, pp. 2900-2923

Persistent link: https://www.econbiz.de/10012039878

Why does return predictability concentrate in bad times?

Cujean, Julien; Hasler, Michael - 2017

We build an equilibrium model to explain why stock return predictability concentrates in bad times. The key feature is that investors use different forecasting models, and hence assess uncertainty differently. As economic conditions deteriorate, uncertainty rises and investors' opinions...

Persistent link: https://www.econbiz.de/10011721618