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Extreme asymmetric volatility: Stress and aggregate asset prices
16 references·10 citing·33 second hop
Extreme asymmetric volatility: Stress and aggregate asset prices (2015)Extreme asymmetric volatility: Stress and…Expected Stock Returns and Variance Risk Premia (2009)Expected Stock Returns and Va…Statistics of Extremes: Theory and Applications (2004)Statistics of Extremes: Theor…Dynamic Conditional Correlation (2002)Dynamic Conditional Correlati…An Introduction to Statistical Modeling of Extreme Values (2002)An Introduction to Statistica…Theoretical and Empirical properties of Dynamic Conditional Correlation Multivariate GARCH (2001)Theoretical and Empirical pro…Extreme Correlation of International Equity Markets (2001)Extreme Correlation of Intern…An Introduction to Statistical Modeling of Extreme Values (2001)An Introduction to Statistica…Asymmetric Volatility and Risk in Equity Markets (2000)Asymmetric Volatility and Ris…Threshold heteroskedastic models (1994)Threshold heteroskedastic mod…Modelling of extremal events in insurance and finance (1994)Modelling of extremal events …On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…No news is good news (1992)No news is good newsARCH modeling in finance (1992)ARCH modeling in financeExpected stock returns and volatility (1987)Expected stock returns and vo…The stochastic behavior of common stock variances Value, leverage and interest rate effects (1982)The stochastic behavior of co…An Intertemporal Capital Asset Pricing Model (1973)An Intertemporal Capital Asse…Spillover of fear among the US and BRICS equity markets during the COVID-19 crisis and the Russo-Ukrainian conflict (2024)Spillover of fear among the U…Review on behavioral economics and behavioral finance (2020)Review on behavioral economic…Forecasting stock volatility in the presence of extreme shocks: Short‐term and long‐term effects (2020)Forecasting stock volatility …Ownership Concentration and Performance Recovery Patterns in the European Union (2019)Ownership Concentration and P…Asymmetric extreme risk spillovers between the Chinese stock market and index futures market: An MV-CAViaR based intraday CoVaR approach (2018)Asymmetric extreme risk spill…Uncovering asymmetries in the relationship between fear and the stock market using a hidden co-integration approach (2017)Uncovering asymmetries in the…Point process models for extreme returns: Harnessing implied volatility (2017)Point process models for extr…Oil and energy sector stock markets: An analysis of implied volatility indexes (2017)Oil and energy sector stock m…Global financial crisis, ownership structure and firm financial performance (2017)Global financial crisis, owne…Commodity markets volatility transmission: Roles of risk perceptions and uncertainty in financial markets (2016)Commodity markets volatility …Extreme Values, Regular Variation and Point Processes (1987)Conditional value-at-risk for general loss distributions (2002)Correlation and Dependence in Risk Management: Properties and Pitfalls (2002)Top Incomes in the Long Run of History (2011)The Pricing of Options and Corporate Liabilities (1973)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)Multivariate Simultaneous Generalized ARCH (1995)Modeling and Forecasting Realized Volatility (2003)Introductory Econometrics for Finance (2008)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Time Series Analysis: Forecasting and Control (1977)Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk (2001)The distribution of realized stock return volatility (2001)Specification Tests in Econometrics (1978)Illiquidity and stock returns: cross-section and time-series effects (2002)Multivariate GARCH models: a surveyConditional Heteroskedasticity in Asset Returns: A New Approach (1991)Emerging equity market volatility (1997)Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Modelling Extremal Events (1997)International Asset Allocation With Regime Shifts (2002)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)Idea Generation and the Quality of the Best Idea (2010)Quantitative Risk Management (2011)The Cross‐Section of Volatility and Expected Returns (2006)
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References

  • 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks9,041 cited
  • 2001An Introduction to Statistical Modeling of Extreme Values7,338 cited
  • 2002Dynamic Conditional Correlation7,126 cited
  • 1973An Intertemporal Capital Asset Pricing Model6,557 cited
  • 1992ARCH modeling in finance4,288 cited
  • 1987Expected stock returns and volatility4,147 cited
  • 1994Modelling of extremal events in insurance and finance3,519 cited
  • 2001Extreme Correlation of International Equity Markets2,608 cited
  • 1982The stochastic behavior of common stock variances Value, leverage and interest rate effects2,382 cited
  • 1994Threshold heteroskedastic models2,294 cited
  • 1992No news is good news1,929 cited
  • 2009Expected Stock Returns and Variance Risk Premia1,776 cited
  • 2000Asymmetric Volatility and Risk in Equity Markets1,471 cited
  • 2001Theoretical and Empirical properties of Dynamic Conditional Correlation Multivariate GARCH1,401 cited
  • 2002An Introduction to Statistical Modeling of Extreme Values1,224 cited
  • 2004Statistics of Extremes: Theory and Applications

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  • 2018Asymmetric extreme risk spillovers between the Chinese stock market and index futures market: An MV-CAViaR based intraday CoVaR approach32 cited
  • 2017Point process models for extreme returns: Harnessing implied volatility31 cited
  • 2024Spillover of fear among the US and BRICS equity markets during the COVID-19 crisis and the Russo-Ukrainian conflict25 cited
  • 2020Review on behavioral economics and behavioral finance25 cited
  • 2017Uncovering asymmetries in the relationship between fear and the stock market using a hidden co-integration approach25 cited
  • 2019Ownership Concentration and Performance Recovery Patterns in the European Union20 cited