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University of Chicago - Finance
National Bureau of Economic Research (NBER)
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systemic risk, too-big-to-fail, option pricing, government bailout, financial disaster models
systemic risk, government bailout, too-big-to-fail, option pricing models, disaster models, financial crisis
This is a CEPR Discussion Paper. CEPR charges a fee of $5.00 for this paper.
File name: DP9023.
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financial crisis, government bailout, option pricing models, systemic risk, too-big-to-fail
Volatility, ARCH, Forecasting, Forecast Evaluation
political uncertainty, options, elections, summits, variance risk, tail risk
File name: DP9822.
options, political uncertainty
Firm volatility, Idiosyncratic risk, Cross-section of stock returns
systemic risk, measures, quantile regression, predictive regression, macroeconomic downturns
This is a National Bureau of Economic Research Paper. NBER charges a fee of
$5.00 for this paper.
File name: nber.
Liquidity, Voluntary disclosure, Earnings guidance, Information production, Management communication, Investor relations, Analyst coverage, Retail investors
Hedge fund, tail risk, performance evaluation
excess volatility, discount rates, term structure
Asymmetric-information asset pricing, liquidity, analyst coverage
File name: DP7180.
analyst coverage, Asymmetric-information asset pricing, liquidity
forecast, many predictors, factor model, Kalman filter, constrained least squares, principal components, partial least squares
Sell-side research, Coverage terminations, Informational efficiency, Trading strategies, Global Settlement
Sell-side research, Coverage terminations, Informational efficiency, Global Settlement
tail risk, time-varying risk, conditional expected returns, cross section of returns
Firm volatility, networks, firm size distribution, aggregate volatility, granularity
CDS, credit risk, implied volatility
File name: DP12284.
aggregate volatility, firm size distribution, Firm volatility, granularity, networks
factor model, principal components, tensor, asymptotic theory, international macroeconomics, dynamic loading
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