RUNNING FOR THE EXIT: DISTRESSED SELLING AND ENDOGENOUS CORRELATION IN FINANCIAL MARKETS

DOI10.1111/j.1467-9965.2011.00510.xzbMath1275.91057OpenAlexW3125549285MaRDI QIDQ2851561

Rama Cont, Lakshithe Wagalath

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

zbMATH Keywords

volatilityliquidityquadratic covariationsystemic riskendogenous riskrealized covariancefeedback effectsfire resales

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24)

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Cites Work

• The Wishart autoregressive process of multivariate stochastic volatility
• Multivariate COGARCH(1, 1) processes
• A multifactor volatility Heston model

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