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The Probability of Rare Disasters: Estimation and Implications · Study

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PreprintThe Probability of Rare Disasters: Estimation and Implications

EMIL N. SIRIWARDANE2015

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Preprintgreen2015

The Probability of Rare Disasters: Estimation and Implications

EMIL N. SIRIWARDANE

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

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Stochastic processes and financial applications Financial Markets and Investment Strategies COVID-19 Pandemic Impacts

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References

1973The Pricing of Options and Corporate Liabilities 1986Generalized autoregressive conditional heteroskedasticity 1991Conditional Heteroskedasticity in Asset Returns: A New Approach 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks 1985A Theory of the Term Structure of Interest Rates 1996Multifactor Explanations of Asset Pricing Anomalies 2003Liquidity Risk and Expected Stock Returns 1999By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior

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Details

Year2015

Typepreprint

Published2015-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations36

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.2139/ssrn.2584047

openalex_workW273549031

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