SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Anticipating Economic Market Crises Using Measures of Collective Panic
16 references·0 citing·44 second hop
Anticipating Economic Market Crises Using Measures of Collective Panic (2015)Anticipating Economic Market Crises Using…The Economy as an Evolving Complex System II (2018)The Economy as an Evolving Co…International encyclopedia of the social and behavioral sciences (2015)International encyclopedia of…No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)No Contagion, Only Interdepen…Extreme Correlation of International Equity Markets (2001)Extreme Correlation of Intern…Value At Risk: The New Benchmark for Managing Financial Risk (2000)Value At Risk: The New Benchm…Introduction to Econophysics (1999)Introduction to EconophysicsHierarchical structure in financial markets (1999)Hierarchical structure in fin…Learning from the Behavior of Others: Conformity, Fads, and Informational Cascades (1998)Learning from the Behavior of…Leading Indicators of Currency Crises (1998)Leading Indicators of Currenc…Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…Positive Feedback Investment Strategies and Destabilizing Rational Speculation (1990)Positive Feedback Investment …Noise Trader Risk in Financial Markets (1990)Noise Trader Risk in Financia…Herd Behavior and Investment (1988)Herd Behavior and InvestmentBank Runs, Deposit Insurance, and Liquidity (1983)Bank Runs, Deposit Insurance,…The stochastic behavior of common stock variances Value, leverage and interest rate effects (1982)The stochastic behavior of co…The arbitrage theory of capital asset pricing (1976)The arbitrage theory of capit…The General Theory of Employment (1937)Network externalities, competition, and compatibility (1985)Agency Costs of Free Cash Flow, Corporate Finance, and Takeovers (1986)The impact of institutional trading on stock prices (1992)The Limits of Arbitrage (1995)The Categorical Imperative: Securities Analysts and the Illegitimacy Discount (1999)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Pricing of Options and Corporate Liabilities (1973)Time Series Analysis: Forecasting and Control (1977)Threshold heteroskedastic models (1994)Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk (2001)The distribution of realized stock return volatility (2001)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)ARCH modeling in finance (1992)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)The General Theory of Employment, Interest and Money. (1936)The Behavior of Stock-Market Prices (1965)Continuous Auctions and Insider Trading (1985)Investor Psychology and Security Market Under‐ and Overreactions (1998)Investor Sentiment and the Cross‐Section of Stock Returns (2006)Non-Monetary Effects of the Financial Crisis in the Propagation of the Great Depression (1983)Financial Intermediation and Delegated Monitoring (1984)Financial Contagion (2000)Market Liquidity and Funding Liquidity (2008)A Monetary History of the United States, 1867-1960 (2017)Extreme Values, Regular Variation and Point Processes (1987)Modelling Extremal Events (1997)International Asset Allocation With Regime Shifts (2002)Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)Backtesting Value-at-Risk: A Duration-Based Approach (2004)Is gold a safe haven or a hedge for the US dollar? Implications for risk management (2013)Machine Learning in Banking Risk Management: A Literature Review (2019)When Effect Becomes Cause: Policy Feedback and Political Change (1993)A Postcapitalist Politics (2006)Evolutionary games on graphs (2007)Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets (2008)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)
this work references cited by second hop

References

  • 1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,268 cited
  • 1983Bank Runs, Deposit Insurance, and Liquidity9,689 cited
  • 1976The arbitrage theory of capital asset pricing7,081 cited
  • 1990Noise Trader Risk in Financial Markets6,259 cited
  • 2002No Contagion, Only Interdependence: Measuring Stock Market Comovements4,647 cited
  • 1988Herd Behavior and Investment2,815 cited
  • 2001Extreme Correlation of International Equity Markets2,608 cited
  • 2000Value At Risk: The New Benchmark for Managing Financial Risk2,478 cited
  • 1982The stochastic behavior of common stock variances Value, leverage and interest rate effects2,382 cited
  • 2018The Economy as an Evolving Complex System II2,313 cited
  • 1990Positive Feedback Investment Strategies and Destabilizing Rational Speculation2,197 cited
  • 1999Hierarchical structure in financial markets2,073 cited
  • 1998Learning from the Behavior of Others: Conformity, Fads, and Informational Cascades1,916 cited
  • 1998Leading Indicators of Currency Crises1,857 cited
  • 1999Introduction to Econophysics1,831 cited
  • 2015

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

International encyclopedia of the social and behavioral sciences
1,831 cited

Cited by

No citing works inside the corpus for this window.