FIRE SALES FORENSICS: MEASURING ENDOGENOUS RISK
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Publication:2831004
DOI10.1111/mafi.12071zbMath1348.91291MaRDI QIDQ2831004
Publication date: 1 November 2016
Published in: Mathematical Finance (Search for Journal in Brave)
diffusion approximationcorrelationsdiffusion modelsliquidityprice impactfinancial contagionendogenous riskfeedback effectsfire sales
Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Microeconomic theory (price theory and economic markets) (91B24) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Portfolio theory (91G10)
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Cites Work
- The Wishart autoregressive process of multivariate stochastic volatility
- Multivariate COGARCH(1, 1) processes
- Discretization of processes.
- RUNNING FOR THE EXIT: DISTRESSED SELLING AND ENDOGENOUS CORRELATION IN FINANCIAL MARKETS
- A multifactor volatility Heston model
- Modeling and Forecasting Realized Volatility
- Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics
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