Amplification and asymmetry in crashes and frenzies

DOI10.1007/S10436-007-0077-ZzbMath1233.91251OpenAlexW1981453168MaRDI QIDQ665807

Han Ozsoylev

Publication date: 6 March 2012

Published in: Annals of Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10436-007-0077-z

zbMATH Keywords

asymmetryhedgingportfolio insuranceamplificationcrashfrenzy

Mathematics Subject Classification ID

Utility theory (91B16) Portfolio theory (91G10)

Related Items (1)

Analysing financial contagion and asymmetric market dependence with volatility indices via copulas

Cites Work

• The Pricing of Options and Corporate Liabilities
• Private information and the design of securities
• Slow boom, sudden crash
• A Noisy Rational Expectations Equilibrium for Multi-Asset Securities Markets
• Market Crashes and Informational Avalanches
• Growth cycles and market crashes

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