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hal.structure.identifierDauphine Recherches en Management [DRM]
dc.contributor.authorAboura, Sofiane
dc.date.accessioned2016-02-15T17:10:20Z
dc.date.available2016-02-15T17:10:20Z
dc.date.issued2015-12
dc.identifier.issn2115-443
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/15375
dc.language.isoenen
dc.subjectRisk Managementen
dc.subjectVolatilityen
dc.subjectExtreme Value Theoryen
dc.subjectLeverage Effecten
dc.subjectFeedback Effecten
dc.subject.ddc332en
dc.subject.classificationjelC.C4.C40en
dc.subject.classificationjelG.G1.G13en
dc.subject.classificationjelG.G3.G32en
dc.titleLeverage vs. Feedback: Which Effect Drives the Equity Market during Stress Periods?en
dc.typeArticle accepté pour publication ou publié
dc.description.abstractenAsymmetric volatility occupies a central role in the risk-return relation. However, this asymmetry has not been examined during stress periods. This article fills this gap by studying this relation at the tail distribution level with an empirical test on the French market from the creation of the implied volatility index in October 1997 until January 2013. Using a complete set of econometrical analysis before applying the multivariate extreme value theory, this article shows that the asymptotic dependence occurs only for the crash scenario in which the feedback effect dominates the leverage effect. This result has implications on the pricing and hedging of options contracts.en
dc.relation.isversionofjnlnameAnnals of economics and statistics
dc.relation.isversionofjnlissue119-120en
dc.relation.isversionofjnldate2015-12
dc.relation.isversionofjnlpages269-288en
dc.relation.isversionofdoi10.15609/annaeconstat2009.119-120.269en
dc.relation.isversionofjnlpublisherGENESen
dc.subject.ddclabelEconomie financièreen
dc.relation.forthcomingnonen
dc.relation.forthcomingprintnonen
dc.description.ssrncandidatenonen
dc.description.halcandidateouien
dc.description.readershiprechercheen
dc.description.audienceInternationalen
dc.relation.Isversionofjnlpeerreviewedouien
dc.relation.Isversionofjnlpeerreviewedoui
dc.date.updated2016-01-20T15:52:45Z
hal.identifierhal-01274397*
hal.version1*
hal.author.functionaut


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