International crash risk premium-Reference-Cited by-同舟云学术

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International crash risk premium

Published:2024-07 Issue: Volume:94 Page:102014
ISSN:1042-4431
Container-title:Journal of International Financial Markets, Institutions and Money
language:en
Short-container-title:Journal of International Financial Markets, Institutions and Money

Author:

Chen Steven Shu-Hsiu

Publisher

Elsevier BV

Reference90 articles.

1. Does realized skewness predict the cross-section of equity returns?;Amaya;J. Financ. Econ.,2015

2. Liquidity and the 1987 stock market crash;Amihud;J. Portf. Manag.,1990

3. The distribution of realized stock return volatility;Andersen;J. Financ. Econ.,2001

4. The pricing of tail risk and the equity premium: Evidence from international option markets;Andersen;J. Bus. Econom. Statist.,2020

5. Asymmetric correlations of equity portfolios;Ang;J. Financ. Econ.,2002

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