Time-Varying Crash Risk: The Role of Stock Market Liquidity
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- Branger, Nicole & Rodrigues, Paulo & Schlag, Christian, 2017. "Level and slope of volatility smiles in Long-Run Risk Models," SAFE Working Paper Series 186, Research Center SAFE - Sustainable Architecture for Finance in Europe, Goethe University Frankfurt.
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More about this item
KeywordsAsset Pricing; Econometric and statistical methods; Financial stability;
- G01 - Financial Economics - - General - - - Financial Crises
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2016-08-07 (All new papers)
- NEP-CSE-2016-08-07 (Economics of Strategic Management)
- NEP-FMK-2016-08-07 (Financial Markets)
- NEP-RMG-2016-08-07 (Risk Management)
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