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Tail risk and the return-volatility relation

Published:2018-12 Issue: Volume:46 Page:16-29
ISSN:0275-5319
Container-title:Research in International Business and Finance
language:en
Short-container-title:Research in International Business and Finance

Author:

Aboura Sofiane,Chevallier Julien

Publisher

Elsevier BV

Subject

Finance,Business, Management and Accounting (miscellaneous)

Reference43 articles.

1. Extreme Asymmetric Volatility, Leverage, Feedback and Asset Prices;Aboura,2009

2. The Leverage Effect Puzzle: Disentangling Sources of Bias at High Frequency;Ait-Sahalia,2013

3. Multivariate GARCH models: a survey;Bauwens;J Appl. Econom.,2006

4. Asymmetric volatility and risk in equity markets;Bekaert;Rev. Financ. Stud.,2000

5. Studies in stock price volatility changes;Black,1976

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1. Interconnectedness between Islamic and conventional banks: a multilayer network view;International Journal of Islamic and Middle Eastern Finance and Management;2024-08-07

2. Market Resilience Unveiled: Insights from Quantile Time Frequency Connectedness into Emerging Countries Stock Indices;Journal of the Knowledge Economy;2024-07-13

3. Tail risk transmission from the United States to emerging stock Markets: Empirical evidence from multivariate quantile analysis;The North American Journal of Economics and Finance;2024-07

4. WITHDRAWN: Extreme risk contagion from the United States to BRICS stock markets: A multivariate quantile analysis;The North American Journal of Economics and Finance;2024-01

5. Short- and long-run determinants of the price behavior of US clean energy stocks: A dynamic ARDL simulations approach;Energy Economics;2023-08

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