Why are Asset Returns More Volatile during Recessions? A Theoretical Explanation
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- Monique Ebell, 2000. "Why Are Asset Returns More Volatile During Recessions? A Theoretical Explanation," Computing in Economics and Finance 2000 355, Society for Computational Economics.
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- Frédérique Bec & Annabelle de Gaye, 2019. "Le modèle autorégressif autorégressif à seuil avec effet rebond : Une application aux rendements boursiers français et américains ," Working Papers hal-02014663, HAL.
- Duncan, Roberto, 2016.
"Does the US current account show a symmetric behavior over the business cycle?,"
International Review of Economics & Finance, Elsevier, vol. 41(C), pages 202-219.
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- Roberto Duncan, 2015. "Does the US Current Account Show a Symmetric Behavior over the Business Cycle?," Working Papers 2015-51, Peruvian Economic Association.
- Van Nieuwerburgh, Stijn & Veldkamp, Laura, 2006. "Learning asymmetries in real business cycles," Journal of Monetary Economics, Elsevier, vol. 53(4), pages 753-772, May.
- Zeng, Songlin & Bec, Frédérique, 2015.
"Do stock returns rebound after bear markets? An empirical analysis from five OECD countries,"
Journal of Empirical Finance, Elsevier, vol. 30(C), pages 50-61.
- Frédérique BEC & Songlin ZENG, 2013. "Do Stock Returns Rebound After Bear Markets? An Empirical Analysis From Five OECD Countries," THEMA Working Papers 2013-21, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
- Hess, Martin K., 2003. "What drives Markov regime-switching behavior of stock markets? The Swiss case," International Review of Financial Analysis, Elsevier, vol. 12(5), pages 527-543.
- Martin Hess, 2006. "Timing and diversification: A state-dependent asset allocation approach," The European Journal of Finance, Taylor & Francis Journals, vol. 12(3), pages 189-204.
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NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-FMK-2001-05-02 (Financial Markets)
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