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ArticleExtreme asymmetric volatility: Stress and aggregate asset prices

Sofiane Aboura2015

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Articlegreen2015

Extreme asymmetric volatility: Stress and aggregate asset prices

Sofiane Aboura · Niklas Wagner

48 citations·0/0 files stored·Journal of International Financial Markets Institutions and Money

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Financial Risk and Volatility Modeling Financial Markets and Investment Strategies Market Dynamics and Volatility

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References

1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks 2001An Introduction to Statistical Modeling of Extreme Values 2002Dynamic Conditional Correlation 1973An Intertemporal Capital Asset Pricing Model 1992ARCH modeling in finance 1987Expected stock returns and volatility 1994Modelling of extremal events in insurance and finance 2001Extreme Correlation of International Equity Markets

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Details

Year2015

Typearticle

Published2015-12-31

VenueJournal of International Financial Markets Institutions and Money

ISSN-L1042-4431

Languageen

Citations48

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.intfin.2015.12.004

openalex_workW3123373253

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