INSTITUTIONAL INVESTORS AND THE DEPENDENCE STRUCTURE OF ASSET RETURNS

DOI10.1142/S0219024916500102zbMath1337.91140OpenAlexW2170427460MaRDI QIDQ2800050

Rama Cont, Lakshithe Wagalath

Publication date: 14 April 2016

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024916500102

zbMATH Keywords

liquidityfeedback effectsinstitutional investorsendogenous correlations

Mathematics Subject Classification ID

Related Items (4)

A LIQUIDATION RISK ADJUSTMENT FOR VALUE AT RISK AND EXPECTED SHORTFALL ⋮ Asset prices in segmented and integrated markets ⋮ Modelling joint behaviour of asset prices using stochastic correlation ⋮ The topology of overlapping portfolio networks

Cites Work

• Unnamed Item
• The Wishart autoregressive process of multivariate stochastic volatility
• A flexible matrix Libor model with smiles
• FIRE SALES FORENSICS: MEASURING ENDOGENOUS RISK
• RUNNING FOR THE EXIT: DISTRESSED SELLING AND ENDOGENOUS CORRELATION IN FINANCIAL MARKETS
• FROM RAGS TO RICHES: ON CONSTANT PROPORTIONS INVESTMENT STRATEGIES
• Institutional Investors and Stock Market Volatility
• RANDOM MATRIX THEORY AND FINANCIAL CORRELATIONS
• Modeling and Forecasting Realized Volatility
• Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics

This page was built for publication: INSTITUTIONAL INVESTORS AND THE DEPENDENCE STRUCTURE OF ASSET RETURNS