RUNNING FOR THE EXIT: DISTRESSED SELLING AND ENDOGENOUS CORRELATION IN FINANCIAL MARKETS
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Publication:2851561
DOI10.1111/j.1467-9965.2011.00510.xzbMath1275.91057OpenAlexW3125549285MaRDI QIDQ2851561
Publication date: 11 October 2013
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9965.2011.00510.x
volatilityliquidityquadratic covariationsystemic riskendogenous riskrealized covariancefeedback effectsfire resales
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