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The Leverage Effect in Financial Markets: Retarded Volatility And Market Panic · Study

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PreprintThe Leverage Effect in Financial Markets: Retarded Volatility And Market Panic

Jean‐Philippe Bouchaud2001

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Preprintgreen2001

The Leverage Effect in Financial Markets: Retarded Volatility And Market Panic

Jean‐Philippe Bouchaud · Andrew Matacz · Marc Potters

32 citations·0/0 files stored·SSRN Electronic Journal

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Financial Risk and Volatility Modeling Stochastic processes and financial applications Complex Systems and Time Series Analysis

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References

1997The Econometrics of Financial Markets 1993A long memory property of stock market returns and a new model 1976The valuation of options for alternative stochastic processes 1999Introduction to Econophysics 1991Long-Term Memory in Stock Market Prices 1997A Rational Route to Randomness 1999Scaling and criticality in a stochastic multi-agent model of a financial market 2000Asymmetric Volatility and Risk in Equity Markets

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2001More stylized facts of financial markets: leverage effect and downside correlations 2001Correlation structure of extreme stock returns 2008A High‐Frequency Investigation of the Interaction between Volatility and DAX Returns

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2001Microscopic models for long ranged volatility correlationsarticle · 8 shared references 2000Econophysics: financial time series from a statistical physics point of viewarticle · 7 shared references 2001More stylized facts of financial markets: leverage effect and downside correlationsarticle · 7 shared references 2002An introduction to statistical financearticle · 6 shared references 2001Leverage Effect in Financial Markets: The Retarded Volatility Modelarticle · 6 shared references 1999Econophysics: Can physicists contribute to the science of economics?article · 6 shared references

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Year2001

Typepreprint

Published2001-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations32

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.2139/ssrn.255868

openalex_workW2116912552

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