Autor:	Peter Christoffersen, Chayawat Ornthanalai, Yoontae Jeon, Bruno Feunou
Rok vydání:	2017
Předmět:	Market risk Stock market crash Financial economics Econometrics Liquidity crisis Stock market Crash Business Security market line Liquidity risk Market liquidity
Zdroj:	SSRN Electronic Journal.
ISSN:	1556-5068
Popis:	We estimate a continuous-time model with stochastic volatility and dynamic crash probability for the S&P 500 index and find that market illiquidity dominates other factors in explaining the stock market crash risk. While the crash probability is time-varying, its dynamic depends only weakly on return variance once we include market illiquidity as an economic variable in the model.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::5cbcc907e243d47bd161c3071934b218 https://doi.org/10.2139/ssrn.2797308 Zobrazit plný text záznamu