How Crashes Develop: Intradaily Volatility and Crash Evolution
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DOI: 10.1111/jofi.12732
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Cited by:
- Bollerslev, Tim & Todorov, Viktor, 2023. "The jump leverage risk premium," Journal of Financial Economics, Elsevier, vol. 150(3).
- Zhang, Lei & Chen, Yan & Bouri, Elie, 2024. "Time-varying jump intensity and volatility forecasting of crude oil returns," Energy Economics, Elsevier, vol. 129(C).
- Raisul Islam & Vladimir Volkov, 2022. "Contagion or interdependence? Comparing spillover indices," Empirical Economics, Springer, vol. 63(3), pages 1403-1455, September.
- Deniz Erdemlioglu & Christopher J. Neely & Xiye Yang, 2023. "Systemic Tail Risk: High-Frequency Measurement, Evidence and Implications," Working Papers 2023-016, Federal Reserve Bank of St. Louis.
- Wu, Bin & Chen, Pengzhan & Ye, Wuyi, 2024. "Variance swaps with mean reversion and multi-factor variance," European Journal of Operational Research, Elsevier, vol. 315(1), pages 191-212.
- Ivan Letteri, 2023. "VolTS: A Volatility-based Trading System to forecast Stock Markets Trend using Statistics and Machine Learning," Papers 2307.13422, arXiv.org, revised Aug 2023.
- Ulrich Horst & Wei Xu & Rouyi Zhang, 2023. "Convergence of Heavy-Tailed Hawkes Processes and the Microstructure of Rough Volatility," Papers 2312.08784, arXiv.org.
- Wujun Lv & Tao Pang & Xiaobao Xia & Jingzhou Yan, 2023. "Dynamic portfolio choice with uncertain rare-events risk in stock and cryptocurrency markets," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 9(1), pages 1-28, December.
- Jan-Christian Gerlach & Jerome Kreuser & Didier Sornette, 2020. "Awareness of crash risk improves Kelly strategies in simulated financial time series," Papers 2004.09368, arXiv.org.
- Antoine Fosset & Jean-Philippe Bouchaud & Michael Benzaquen, 2020. "Endogenous Liquidity Crises," Working Papers hal-02567495, HAL.
- Antoine Fosset & Jean-Philippe Bouchaud & Michael Benzaquen, 2020. "Endogenous Liquidity Crises," Post-Print hal-02567495, HAL.
- Antoine Fosset & Jean-Philippe Bouchaud & Michael Benzaquen, 2019. "Endogenous Liquidity Crises," Papers 1912.00359, arXiv.org, revised Feb 2020.
- Chen, Yan & Zhang, Lei & Bouri, Elie, 2024. "Can a self-exciting jump structure better capture the jump behavior of cryptocurrencies? A comparative analysis with the S&P 500," Research in International Business and Finance, Elsevier, vol. 69(C).
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