Amplification and asymmetry in crashes and frenzies
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- Han N. Ozsoylev, 2005. "Amplification and Asymmetry in Crashes and Frenzies," OFRC Working Papers Series 2005fe11, Oxford Financial Research Centre.
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- Yue Peng & Wing Ng, 2012. "Analysing financial contagion and asymmetric market dependence with volatility indices via copulas," Annals of Finance, Springer, pages 49-74.
More about this item
KeywordsAmplification; Asymmetry; Crash; Frenzy; Hedging; Portfolio insurance; G11; G12;
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
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