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Keywords: Market volatility
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Journal Articles
Revisiting Fama–French’s asset pricing model with an MCB volatility risk factor
Available to Purchase
Journal:
The Journal of Risk Finance
Journal of Risk Finance (2020) 21 (3): 233–251.
Published: 23 June 2020
... volatility and jump models. Psychoyios et al. (2003) summarize and simulate various different stochastic processes to model the dynamics of market volatility, whereas Belanger and Picard (2018) propose a multiple-factor model to predict the VIX futures distribution curve. Investor sentiment...
Journal Articles
Does market response to S&P additions reflect adjustment for risk?
Available to Purchase
Journal:
The Journal of Risk Finance
Journal of Risk Finance (2018) 19 (5): 437–453.
Published: 01 July 2018
... quality (Platikanova, 2008 ; Hrazdil and Scott, 2009). Investor sentiment VIX Risk Market volatility Market uncertainty S&P indices When firms are announced as additions to the S&P index, the news attracts broad interest from market participants. The selected firm typically...
