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The impact of catastrophes on insurer stock volatility
Thomann, Christian - In: The journal of risk and insurance : the journal of the … 80 (2013) 1, pp. 65-94
Persistent link: https://www.econbiz.de/10009729153
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Unconditional mean, volatility, and the FOURIER-GARCH representation
Pascalau, Razvan; Thomann, Christian; Gregoriou, Greg N. - In: Financial econometrics modeling : derivatives pricing, …, (pp. 90-106). 2011
Persistent link: https://www.econbiz.de/10008988010
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The Impact of Catastrophes on Insurer Stock Volatility
Thomann, Christian - 2012
This paper investigates the impact of natural catastrophes and the 9-11 attacks on (1) the volatility of insurance stocks and (2) the correlation of insurance stocks with the market. We find that natural catastrophes increase the volatility of insurance stocks. They also have a tendency to...
Persistent link: https://www.econbiz.de/10013109821