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Massa, Massimo; Zhang, Lei - 2015

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The common factor in idiosyncratic volatility : quantitative asset pricing implications

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U.S., Anglo-Saxon European, and non-Anglo-Saxon European cash holdings around the financial crisis

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Forecasting crash risk in U.S. bank returns : the role of credit booms

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Volatility patterns of CDS, bond and stock markets before and during the financial crisis : evidence from major financial institutions

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Volatility patterns of CDS, bond and stock markets before and during the financial crisis : evidence from major financial institutions

Belke, Ansgar; Gokus, Christian - 2011

concentrate on modeling the conditional mean. However, financial time series exhibit certain stylized features such as volatility … to address this issue and to gain insights on the volatility patterns of CDS spreads, bond yield spreads and stock prices … creditworthiness of debtors more reliably. The obtained findings suggest that volatility takes a significant higher level in times of …

Persistent link: https://www.econbiz.de/10010209431