Show simple item record

hal.structure.identifierDauphine Recherches en Management [DRM]
dc.contributor.authorAboura, Sofiane*
hal.structure.identifierPassau University
dc.contributor.authorWagner, Niklas*
dc.date.accessioned2016-02-17T13:48:58Z
dc.date.available2016-02-17T13:48:58Z
dc.date.issued2015-12
dc.identifier.issn1042-4431
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/15380
dc.language.isoenen
dc.subjectMarket volatilityen
dc.subjectAsymmetric volatilityen
dc.subjectLeverage effecten
dc.subjectVolatility feedbacken
dc.subjectMarket stressen
dc.subjectFinancial stabilityen
dc.subjectSystemic risken
dc.subjectExtreme volatilityen
dc.subjectAggregate asset pricesen
dc.subject.ddc332en
dc.subject.classificationjelG.G1.G12en
dc.subject.classificationjelG.G1.G14en
dc.subject.classificationjelG.G1.G15en
dc.titleExtreme asymmetric volatility: Stress and aggregate asset pricesen
dc.typeArticle accepté pour publication ou publié
dc.description.abstractenAsymmetric volatility in equity markets has been widely documented in finance (Bekaert and Wu, 2000)). We study asymmetric volatility for daily S&P 500 index returns and VIX index changes, thereby examining the relation between extreme changes in risk-neutral volatility expectations, i.e. market stress, and aggregate asset prices. To this aim, we model market returns, implied VIX market volatility and volatility of volatility, showing that the latter is asymmetric in that past positive volatility shocks drive positive shocks to volatility of volatility. Our main result documents the existence of a significant extreme asymmetric volatility effect as we find contemporaneous volatility-return tail dependence for crashes but not for booms. We then outline aggregate market price implications of extreme asymmetric volatility, indicating that under volatility feedback a one-in-a-hundred trading day innovation to average VIX implied volatility, for example, relates to an expected market drop of more than 4 percent.en
dc.relation.isversionofjnlnameJournal of International Financial Markets, Institutions and Money
dc.relation.isversionofjnlvol41
dc.relation.isversionofjnldate2016-03
dc.relation.isversionofjnlpages47–59
dc.relation.isversionofdoi10.1016/j.intfin.2015.12.004en
dc.relation.isversionofjnlpublisherHaworth Pressen
dc.subject.ddclabelEconomie financièreen
dc.relation.forthcomingnonen
dc.description.ssrncandidatenonen
dc.description.halcandidateouien
dc.description.readershiprechercheen
dc.description.audienceInternationalen
dc.relation.Isversionofjnlpeerreviewedouien
dc.date.updated2016-02-17T13:38:20Z
hal.identifierhal-01275450*
hal.version1*
hal.update.actionupdateMetadata*
hal.author.functionaut
hal.author.functionaut


Files in this item

FilesSizeFormatView

There are no files associated with this item.

This item appears in the following Collection(s)

Show simple item record