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Greed, financial innovation or laxity of regulation? : a close look into the 2007 - 2009 financial crisis and stock market volatility
Mazumder, M. Imtiaz; Ahmad, Nazeen - In: Studies in economics and finance 27 (2010) 2, pp. 110-134
Persistent link: https://www.econbiz.de/10008662574
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Business cycles, financial crises and stock volatility
Schwert, George William - 1989
Persistent link: https://www.econbiz.de/10000127009
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Deducing the implications of jump models for the structure of stock market crashes, rallies, jump arrival rates, and extremes
Bakshi, Gurdip S.; Madan, Dilip B.; Panayotov, George - In: Journal of business & economic statistics : JBES ; a … 28 (2010) 3, pp. 380-396
Persistent link: https://www.econbiz.de/10008736201
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Realizing stock market crashes : stochastic cusp catastrophe model of returns under time-varying volatility
Barunik, Jozef; Kukacka, Jiri - 2014
This paper develops a two-step estimation methodology that allows us to apply catastrophe theory to stock market … periods. While we find that the stock markets showed signs of bifurcation in the first half of the period, catastrophe theory … that the proposed methodology provides an important shift in the application of catastrophe theory to stock markets. …
Persistent link: https://www.econbiz.de/10010407518
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Intra-daily volatility spillovers in international stock markets
Golosnoy, Vasyl; Gribisch, Bastian; Liesenfeld, Roman - In: Journal of international money and finance 53 (2015), pp. 95-114
Persistent link: https://www.econbiz.de/10011475912
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Extreme asymmetric volatility : stress and aggregate asset prices
Aboura, Sofiane; Wagner, Niklas F. - In: Journal of international financial markets, … 41 (2016), pp. 47-59
Persistent link: https://www.econbiz.de/10011475918
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Market participation and share prices
Orosel, Gerhard O. - In: Mathematical finance : an international journal of … 7 (1997) 4, pp. 375-398
Persistent link: https://www.econbiz.de/10001232777
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Measuring the effects of unconventional policies on stock market volatility
Lacava, Demetrio; Gallo, Giampiero M.; Otranto, Edoardo - 2020 - Prima edizione
Persistent link: https://www.econbiz.de/10012515678
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Financial contagion : a tale of three bubbles
Burks, Nathan; Fadahunsi, Adetokunbo; Hibbert, Ann Marie - In: Journal of risk and financial management : JRFM 14 (2021) 5, pp. 1-14
The primary purpose of the study is to identify and measure the properties of asset bubbles, volatility clustering, and financial contagion during three recent financial market anomalies that originated in the U.S. and Chinese markets. In particular, we focus on the 2000 DotCom Bubble, the 2008...
Persistent link: https://www.econbiz.de/10012587643
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Dynamics of contagion and spillover effects : further evidence from major equity markets
Shahani, Rakesh; Umar, Fahad - In: Praj̄nȧn : journal of social and management sciences 49 (2020) 2, pp. 161-184
Persistent link: https://www.econbiz.de/10012665862