Why does bad news increase volatility and decrease leverage?
Year of publication: |
2012
|
---|---|
Authors: | Fostel, Ana ; Geanakoplos, John |
Published in: |
Journal of Economic Theory. - Elsevier, ISSN 0022-0531. - Vol. 147.2012, 2, p. 501-525
|
Publisher: |
Elsevier |
Subject: | Collateral | Endogenous leverage | VaR | Volatility | Volatility smile |
-
Why Does Bad News Increase Volatility and Decrease Leverage?
Fostel, Ana, (2010)
-
Why Does Bad News Increase Volatility and Decrease Leverage?
Fostel, Ana, (2010)
-
Leverage and Default in Binomial Economies: A Complete Characterization
Fostel, Ana, (2012)
- More ...
-
Why Does Bad News Increase Volatility and Decrease Leverage?
Fostel, Ana, (2010)
-
Collateral restrictions and liquidity under-supply: a simple model
Fostel, Ana, (2008)
-
Emerging Markets in an Anxious Global Economy
Fostel, Ana, (2008)
- More ...