How Crashes Develop: Intradaily Volatility and Crash Evolution
收藏NBER2016-02-01 更新2025-01-04 收录
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https://www.nber.org/papers/w22028
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资源简介：
This paper explores whether affine models with volatility jumps estimated on intradaily S&P 500 futures data over 1983-2008 can capture major daily outliers such as the 1987 stock market crash. I find that intradaily jumps in futures prices are typically small, and that self-exciting but short-lived
提供机构：
美国国家经济研究局
创建时间：
2016-02-01
