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Fang, Fang; Zhou, Haiyan - In: Transparency and governance in a global world, (pp. 11-37). 2012

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Jump-diffusion term structure and Itô conditional moment generator

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Regime-shifts, risk premiums in the term structure, and the business cycle

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Term structure of interest rates with regime shifts

Bansal, Ravi; Zhou, Hao - In: The journal of finance : the journal of the American … 57 (2002) 5, pp. 1997-2044

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Estimating stochastic volatility diffusion using conditional moments of integrated volatility

Bollerslev, Tim; Zhou, Hao - In: Journal of econometrics 109 (2002) 1, pp. 33-65

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Term structure of interest rates with regime shifts

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Estimating stochastic volatility diffusion using conditional moments of integrated volatility

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Regime shifts, risk premiums in the term structure, and the business cycle

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Leverage-Induced Fire Sales and Stock Market Crashes

Bian, Jiangze - 2017

This paper provides direct evidence of leverage-induced fire sales leading to a major stock market crash. Our analysis uses proprietary account-level trading data for brokerage- and shadow-financed margin accounts during the Chinese stock market crash in the summer of 2015. We find that margin...

Persistent link: https://www.econbiz.de/10012946334

Leverage-Induced Fire Sales and Stock Market Crashes

Bian, Jiangze - 2018

We provide direct evidence of leverage-induced fire sales contributing to a market crash using account-level trading data for brokerage- and shadow-financed margin accounts during the Chinese stock market crash of 2015. Margin investors heavily sell their holdings when their account-level...

Persistent link: https://www.econbiz.de/10012911095