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Tail risk under price limits
Economic Modelling
◽
10.1016/j.econmod.2018.12.002
◽
2019
◽
Vol 77
◽
pp. 113-123
Author(s):
Sekyung Oh
◽
Hyukdo Kee
◽
Kinam Park
Keyword(s):
Price Limits
◽
Tail Risk
Download Full-text
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References
Impact of Price Limits on Tail Risk
Asian Review of Financial Research
◽
10.37197/arfr.2018.31.2.4
◽
2018
◽
Vol 31
(2)
◽
pp. 259-301
Author(s):
Sekyung Oh
◽
◽
Hyukdo Kee
Keyword(s):
Price Limits
◽
Tail Risk
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The Effect of Price Limits on Intraday Volatility and Information Asymmetry
CFA Digest
◽
10.2469/dig.v39.n3.1
◽
2009
◽
Vol 39
(3)
◽
pp. 55-57
Author(s):
Chenchuramaiah T. Bathala
Keyword(s):
Information Asymmetry
◽
Price Limits
◽
Intraday Volatility
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Tail Risk in Pension Funds: An Analysis Using ARCH Models and Bilinear Processes
CFA Digest
◽
10.2469/dig.v45.n1.5
◽
2015
◽
Vol 45
(1)
◽
Author(s):
Michal Szudejko
Keyword(s):
Pension Funds
◽
Tail Risk
◽
Arch Models
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Capturing fat-tail risk in exchange rate returns using SU curves: a comparison with the normal mixture and skewed Student distributions
The Journal of Risk
◽
10.21314/jor.2007.163
◽
2007
◽
Vol 10
(2)
◽
pp. 73-100
◽
Cited By ~ 7
Author(s):
Pedro Gurrola
Keyword(s):
Exchange Rate
◽
Normal Mixture
◽
Tail Risk
◽
Fat Tail
Download Full-text
Validation of index and benchmark assignment: adequacy of capturing tail risk
The Journal of Risk Model Validation
◽
10.21314/jrmv.2019.214
◽
2019
◽
pp. 71-105
Author(s):
Lukasz Prorokowski
Keyword(s):
Tail Risk
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The Effects of Removing Price Limits and Term Structure upon Order-Submission Behaviors of IPOs
SSRN Electronic Journal
◽
10.2139/ssrn.1243482
◽
2008
◽
Cited By ~ 1
Author(s):
Pei-Han Hsin
◽
Ming-Chang Wang
Keyword(s):
Term Structure
◽
Price Limits
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Analyzing Tail Risk Using Crisis Utility Rankings
SSRN Electronic Journal
◽
10.2139/ssrn.1710705
◽
2010
◽
Author(s):
Kendrick Wakeman
Keyword(s):
Tail Risk
Download Full-text
Tail Risk for Australian Emerging Market Entities
SSRN Electronic Journal
◽
10.2139/ssrn.1967299
◽
2011
◽
Author(s):
David E. Allen
◽
Akhmad Kramadibrata
◽
Robert J. Powell
◽
Abhay Kumar Singh
Keyword(s):
Emerging Market
◽
Tail Risk
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Tailing Tail Risk in the Hedge Fund Industry
SSRN Electronic Journal
◽
10.2139/ssrn.2041525
◽
2012
◽
Cited By ~ 4
Author(s):
Walter Distaso
◽
Marcelo Fernandes
◽
Filip Zikes
Keyword(s):
Hedge Fund
◽
Tail Risk
◽
Fund Industry
Download Full-text
Empirical Estimates of Effect of Price Limits on Limit-Hitting Days
SSRN Electronic Journal
◽
10.2139/ssrn.253913
◽
2000
◽
Author(s):
Jeff Chung
◽
Li Gan
Keyword(s):
Price Limits
◽
Empirical Estimates
Download Full-text
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