Show simple item record

hal.structure.identifierPassau University
dc.contributor.authorWagner, Niklas*
hal.structure.identifierDauphine Recherches en Management [DRM]
dc.contributor.authorAboura, Sofiane*
dc.date.accessioned2009-09-14T15:16:21Z
dc.date.available2009-09-14T15:16:21Z
dc.date.issued2010
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/1616
dc.language.isoenen
dc.subjectMarket stressen
dc.subjectAsymmetric volatilityen
dc.subjectLeverage effecten
dc.subjectEffet de levieren
dc.subjectMarket volatilityen
dc.subjectVolatility feedbacken
dc.subject.ddc332en
dc.subject.classificationjelG.G3.G32en
dc.subject.classificationjelG.G1.G10en
dc.subject.classificationjelC.C3.C32en
dc.titleExtreme Asymmetric Volatility, Leverage, Feedback and Asset Pricesen
dc.typeCommunication / Conférence
dc.contributor.editoruniversityotherPassau;Allemagne
dc.description.abstractenAsymmetric volatility in equity markets has been widely documented in finance, where two competing explanations, as considered in Bekaert and Wu (2000), are the financial leverage and the volatility feedback hypothesis. We explicitly test for the role of both hypotheses in explaining extreme daily U.S. equity market movements during the period January 1990 to September 2008. To this aim, we examine asymmetric volatility based on a novel model of market returns, conditional market volatility and volatility of volatility. We then test for extreme asymmetry and the distinct predictions of both hypotheses. Our results document significant extreme asymmetric volatility. This effect is contemporaneous, consistent with both hypotheses, and it is important for large market declines. We further point out aggregate asset pricing implications under extreme volatility feedback.en
dc.identifier.citationpages45
dc.description.sponsorshipprivateouien
dc.subject.ddclabelEconomie financièreen
dc.relation.conftitleInternational Risk Management Conference (IRMC 2010) Financial Stability and Value
dc.relation.confdate2010-06
dc.relation.confcityFlorence
dc.relation.confcountryItaly
dc.description.halcandidateoui
dc.description.readershipRecherche
dc.description.audienceInternational
dc.relation.Isversionofjnlpeerreviewednon
hal.identifierhal-01526073*
hal.version1*
hal.update.actionupdateMetadata*
hal.author.functionaut
hal.author.functionaut


Files in this item

Thumbnail

This item appears in the following Collection(s)

Show simple item record