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Are risk spreads rational?
Sheffrin, Steven M. - In: West Coast Academic Federal Reserve Economic Research … 7 (1986), pp. 47-61
Persistent link: https://www.econbiz.de/10001082922
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Voluntary disclosure of pandemic exposure and stock price crash risk
Jin, Justin Y.; Liu, Yi; Zhang, Zehua; Zhao, Ran - In: Finance research letters 47 (2022) 2, pp. 1-9
Persistent link: https://www.econbiz.de/10013553912
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Good Volatility, Bad Volatility, and the Cross Section of Cryptocurrency Returns
Zhang, Zehua; Zhao, Ran - 2021
This paper examines the distributional properties of cryptocurrency realized variation measures (RVM) and the predictability of RVM on future returns. We show the cryptocurrency volatility persistence and the importance of the asymmetry on volatility forecasting. Signed jumps variations...
Persistent link: https://www.econbiz.de/10013214000
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Good volatility, bad volatility, and the cross section of cryptocurrency returns
Zhang, Zehua; Zhao, Ran - In: International review of financial analysis 89 (2023), pp. 1-14
Persistent link: https://www.econbiz.de/10014464825
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Good Volatility, Bad Volatility, and the Cross Section of Cryptocurrency Returns
Zhang, Zehua; Zhao, Ran - 2022
This paper examines the distributional properties of cryptocurrency realized variation measures (RVM) and the predictability of RVM on future returns. We show the cryptocurrency volatility persistence and the importance of the asymmetry on volatility forecasting. Signed jumps variations...
Persistent link: https://www.econbiz.de/10013491560