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Disasters and the Lucas orchard : essays in finance and macroeconomics
Martin, Ian - 2008
Persistent link: https://www.econbiz.de/10011573339
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Financial crises, macroeconomic variables, and long-run risk : an econometric analysis of stock returns correlations (2000 to 2019)
Tronzano, Marco - In: Journal of risk and financial management : JRFM 14 (2021) 3/127, pp. 1-25
This paper focuses on four major aggregate stock price indexes (SP 500, Stock Europe 600, Nikkei 225, Shanghai Composite) and two "safe-haven" assets (Gold, Swiss Franc), and explores their return co-movements during the last two decades. Significant contagion effects on stock markets are...
Persistent link: https://www.econbiz.de/10012486245
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Jump-diffusion long-run risks models, variance risk premium and volatility dynamics
Jin, Jianjian - 2013
realistic dynamics of riskneutral and realized volatilities. I provide evidence that the jump risk in volatility of long run … of the VIX or realized stock volatility. In contrast, a jump-in-volatility LRR model generates a smaller variance risk … premium but better fits the VIX and the realized stock volatility dynamics. Finally, jump-in-volatility models generate …
Persistent link: https://www.econbiz.de/10009734341
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The Lucas orchard
Martin, Ian - In: Econometrica : journal of the Econometric Society, an … 81 (2013) 1, pp. 55-111
Persistent link: https://www.econbiz.de/10009719114
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The Lucas orchard
Martin, Ian - 2011
Persistent link: https://www.econbiz.de/10009383065
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The Lucas Orchard
Martin, Ian - 2011
conditions under which the variation in a small asset's price-dividend ratio can be attributed almost entirely to variation in …
Persistent link: https://www.econbiz.de/10013118845
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The Lucas Orchard
Martin, Ian - 2011
conditions under which the variation in a small asset's price-dividend ratio can be attributed almost entirely to variation in …
Persistent link: https://www.econbiz.de/10012461095
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Option-implied information and predictability of extreme returns
Vilkovz, Grigory; Xiaox, Yan - 2013 - This version: January 28, 2013
We study whether prices of traded options contain information about future extreme market events. Our option-implied conditional expectation of market loss due to tail events, or tail loss measure, predicts future market returns, magnitude, and probability of the market crashes, beyond and above...
Persistent link: https://www.econbiz.de/10010226098
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Asymmetric Covariance, Volatility, and Time-Varying Risk Premium : Evidence from the Finnish Stock Market
Islam, Sultan - 2023
It turns out that stock return volatility responds asymmetrically following negative stock returns. A negative return … shock causes next-period volatility to increase more than that of a positive return shock. The article examines the … asymmetric property of return volatility using the volatility feedback hypothesis in the context of the Finnish stock market …
Persistent link: https://www.econbiz.de/10014355234
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Asset prices and wealth dynamics in a financial market with endogenous liquidation risk
Dindo, Pietro; Staccioli, Jacopo - 2017
lower than the position of the other traders, the former vanish and asset prices are driven solely by the dividend process …
Persistent link: https://www.econbiz.de/10011775376