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The impact of the coronavirus crisis on the market price of risk · Study

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ArticleThe impact of the coronavirus crisis on the market price of risk

Manthos D. Delis2020

OA

Articlegreen2020

The impact of the coronavirus crisis on the market price of risk

Manthos D. Delis · Christos S. Savva · Panayiotis Theodossiou

38 citations·0/0 files stored·Journal of Financial Stability

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Financial Risk and Volatility Modeling Financial Markets and Investment Strategies COVID-19 Pandemic Impacts

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References

1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks 1987Expected stock returns and volatility 1992Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances 1987Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model 1992No news is good news 1994Autoregressive Conditional Density Estimation 2013Can Time‐Varying Risk of Rare Disasters Explain Aggregate Stock Market Volatility?2011Tails, Fears, and Risk Premia

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2026Can Banking Intermediates Crowd Out Their High‐Tech Promising Successors? A Financial Stress Perspective 2021Banking Research in the Time of COVID-19 2022The COVID-19 pandemic, consumption and sovereign credit risk: Cross-country evidence

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Details

Year2020

Typearticle

Published2020-12-30

VenueJournal of Financial Stability

ISSN-L1572-3089

Languageen

Citations38

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.jfs.2020.100840

openalex_workW3115802256

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