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This study presents empirical evidence that volatility persistence and asymmetry are jointly affected by market conditions such as return and volatility. Using 28 equity market indices in developed and emerging countries, we show that daily volatility persistence increases with returns,...
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prescribed in modern portfolio theory. The tail risk is omnipresent in the financial market …
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We study firms' internal resource allocation using a dynamic principal-agent model with endogenous cash-flow volatility …
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