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The Leverage Effect in Financial Markets: Retarded Volatility And Market Panic
16 references·3 citing·40 second hop
The Leverage Effect in Financial Markets: Retarded Volatility And Market Panic (2001)The Leverage Effect in Financial Markets:…Accounting for Biases in Black-Scholes (2004)Accounting for Biases in Blac…Modeling market mechanism with minority game (2000)Modeling market mechanism wit…Derivatives in Financial Markets with Stochastic Volatility (2000)Derivatives in Financial Mark…Asymmetric Volatility and Risk in Equity Markets (2000)Asymmetric Volatility and Ris…Scaling and criticality in a stochastic multi-agent model of a financial market (1999)Scaling and criticality in a …Physicists attempt to scale the ivory towers of finance (1999)Physicists attempt to scale t…Introduction to Econophysics (1999)Introduction to Econophysics”Direct” causal cascade in the stock market (1998)”Direct” causal cascade in th…The Econometrics of Financial Markets (1997)The Econometrics of Financial…Scaling in Stock Market Data: Stable Laws and Beyond (1997)Scaling in Stock Market Data:…Price variations in a stock market with many agents (1997)Price variations in a stock m…Correlations in economic time series (1997)Correlations in economic time…A Rational Route to Randomness (1997)A Rational Route to RandomnessA long memory property of stock market returns and a new model (1993)A long memory property of sto…Long-Term Memory in Stock Market Prices (1991)Long-Term Memory in Stock Mar…The valuation of options for alternative stochastic processes (1976)The valuation of options for …A High‐Frequency Investigation of the Interaction between Volatility and DAX Returns (2008)A High‐Frequency Investigatio…More stylized facts of financial markets: leverage effect and downside correlations (2001)More stylized facts of financ…Correlation structure of extreme stock returns (2001)Correlation structure of extr…Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The variation of certain speculative prices (1997)Universal and Nonuniversal Properties of Cross Correlations in Financial Time Series (1999)Herd Behavior in Financial Markets (2000)A Simple Approximate Long-Memory Model of Realized Volatility (2008)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)The Pricing of Options and Corporate Liabilities (1973)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Option pricing: A simplified approach (1979)The Pricing of Options on Assets with Stochastic Volatilities (1987)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Modeling and Forecasting Realized Volatility (2003)Introductory Econometrics for Finance (2008)Human behavior and the principle of least effort (1949)Competing Technologies, Increasing Returns, and Lock-In by Historical Events (1989)Noise Trader Risk in Financial Markets (1990)A Langevin approach to stock market fluctuations and crashes (1998)Statistical properties of stock order books: empirical results and models (2002)Fluctuations and response in financial markets: the subtle nature of ‘random’ price changes (2004)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)International Asset Allocation With Regime Shifts (2002)Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)Expected Stock Returns and Variance Risk Premia (2009)An introduction to statistical finance (2002)Dynamics of implied volatility surfaces (2002)THE MOMENT FORMULA FOR IMPLIED VOLATILITY AT EXTREME STRIKES (2004)Maximum likelihood estimation of stationary univariate fractionally integrated time series models (1992)Modeling and pricing long memory in stock market volatility (1996)Random matrix approach to cross correlations in financial data (2002)Heterogeneous beliefs and routes to chaos in a simple asset pricing model (1998)Heterogeneous Agent Models in Economics and Finance (2005)Scaling of the distribution of fluctuations of financial market indices (1999)A tool for filtering information in complex systems (2005)Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)Market Liquidity and Funding Liquidity (2008)
this work references cited by second hop

References

  • 1997The Econometrics of Financial Markets5,007 cited
  • 1993A long memory property of stock market returns and a new model3,257 cited
  • 1976The valuation of options for alternative stochastic processes2,935 cited
  • 1999Introduction to Econophysics1,831 cited
  • 1991Long-Term Memory in Stock Market Prices1,743 cited
  • 1997A Rational Route to Randomness1,724 cited
  • 1999Scaling and criticality in a stochastic multi-agent model of a financial market1,527 cited
  • 2000Asymmetric Volatility and Risk in Equity Markets1,471 cited
  • 2000Derivatives in Financial Markets with Stochastic Volatility916 cited
  • 1997Price variations in a stock market with many agents398 cited
  • 1997Correlations in economic time series313 cited
  • 1998”Direct” causal cascade in the stock market239 cited
  • 2000Modeling market mechanism with minority game191 cited
  • 2004Accounting for Biases in Black-Scholes156 cited
  • 1997Scaling in Stock Market Data: Stable Laws and Beyond146 cited
  • 1999Physicists attempt to scale the ivory towers of finance138 cited

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Cited by

  • 2001More stylized facts of financial markets: leverage effect and downside correlations78 cited
  • 2001Correlation structure of extreme stock returns66 cited
  • 2008A High‐Frequency Investigation of the Interaction between Volatility and DAX Returns28 cited