Amplification and asymmetry in crashes and frenzies

DOI10.1007/S10436-007-0077-ZzbMATH Open1233.91251OpenAlexW1981453168MaRDI QIDQ665807FDOQ665807

Authors: 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

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• CRASHES AS CRITICAL POINTS

zbMATH Keywords

asymmetryamplificationhedgingportfolio insurancecrashfrenzy

Mathematics Subject Classification ID

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

Cites Work

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

Cited In (2)

• Fear and its implications for stock markets
• Analysing financial contagion and asymmetric market dependence with volatility indices via copulas

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