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Heavy tails and currency crises
16 references·2 citing·34 second hop
Heavy tails and currency crises (2009)Heavy tails and currency crisesA theory of power-law distributions in financial market fluctuations (2003)A theory of power-law distrib…No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)No Contagion, Only Interdepen…Asymmetric correlations of equity portfolios (2002)Asymmetric correlations of eq…The variation of certain speculative prices (1997)The variation of certain spec…Contagious Currency Crises: First Tests (1996)Contagious Currency Crises: F…BANKING PANICS AND BUSINESS CYCLES * (1988)BANKING PANICS AND BUSINESS C…Rational and Self-Fulfilling Balance-of-Payments Crises (1984)Rational and Self-Fulfilling …Bank Runs, Deposit Insurance, and Liquidity (1983)Bank Runs, Deposit Insurance,…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…A Model of Balance-of-Payments Crises (1979)A Model of Balance-of-Payment…A Monetary Approach To The Exchange Rate: Doctrinal Aspects And Empirical Evidence (1977)A Monetary Approach To The Ex…The arbitrage theory of capital asset pricing (1976)The arbitrage theory of capit…A Monetary Approach to the Exchange Rate: Doctrinal Aspects and Empirical Evidence (1976)A Monetary Approach to the Ex…Residual Life Time at Great Age (1974)Residual Life Time at Great A…The Variation of Certain Speculative Prices (1963)The Variation of Certain Spec…A Model of Income Distribution (1953)A Model of Income DistributionEstimating Systematic Risk under Extremely Adverse Market Conditions* (2017)Estimating Systematic Risk un…The valuation of equity warrants under the fractional Vasicek process of the short-term interest rate (2013)The valuation of equity warra…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)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)Human behavior and the principle of least effort (1949)Continuous Auctions and Insider Trading (1985)The Cross‐Section of Volatility and Expected Returns (2006)Modelling the scaling properties of human mobility (2010)Variable Rare Disasters: An Exactly Solved Framework for Ten Puzzles in Macro-Finance * (2012)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)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Common risk factors in the returns on stocks and bonds (1993)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)International Asset Allocation With Regime Shifts (2002)Market Integration and Contagion (2005)Downside Risk (2006)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Econometric Analysis of Cross Section and Panel Data (2001)Currency crashes in emerging markets: An empirical treatment (1996)Leading Indicators of Currency Crises (1998)The Twin Crises: The Causes of Banking and Balance-of-Payments Problems (1999)Estimating the Tails of Loss Severity Distributions Using Extreme Value Theory (1997)Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach (2000)Extreme Correlation of International Equity Markets (2001)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)Option pricing when underlying stock returns are discontinuous (1976)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)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)
this work references cited by second hop

References

  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1983Bank Runs, Deposit Insurance, and Liquidity9,689 cited
  • 1976The arbitrage theory of capital asset pricing7,081 cited
  • 1963The Variation of Certain Speculative Prices4,851 cited
  • 2002No Contagion, Only Interdependence: Measuring Stock Market Comovements4,647 cited
  • 1997The variation of certain speculative prices4,468 cited
  • 1979A Model of Balance-of-Payments Crises2,927 cited
  • 2002Asymmetric correlations of equity portfolios1,530 cited
  • 1974Residual Life Time at Great Age1,484 cited
  • 2003A theory of power-law distributions in financial market fluctuations1,283 cited
  • 1977A Monetary Approach To The Exchange Rate: Doctrinal Aspects And Empirical Evidence981 cited
  • 1984Rational and Self-Fulfilling Balance-of-Payments Crises960 cited
  • 1988BANKING PANICS AND BUSINESS CYCLES *915 cited
  • 1953A Model of Income Distribution913 cited
  • 1996Contagious Currency Crises: First Tests847 cited
  • 1976A Monetary Approach to the Exchange Rate: Doctrinal Aspects and Empirical Evidence

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  • 2013The valuation of equity warrants under the fractional Vasicek process of the short-term interest rate29 cited
  • 2017Estimating Systematic Risk under Extremely Adverse Market Conditions*26 cited