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Jose OLMO (Univ. of Zarragoza and Univ. of Southampton.) “MEASURING AND TESTING SYSTEMIC RISK FROM THE CROSS-SECTION OF STOCK RETURNS”
Finance & Financial Econometrics : Time: 10:00 am Date: 16th of May 2023 Room 3001 Jose OLMO (Univ. of Zarragoza Univ. of Southampton) "MEASURING AND TESTING SYSTEMIC RISK FROM THE CROSS-SECTION OF STOCK RETURNS" Abstract : This study proposes a novel measure of systemic risk that is obtained by aggregating downside risk information from the […]
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Stefan VOIGT (Univ. of Copenhagen) “MARKET RESPONSES TO A VIX IMPULSE”
Finance & Financial Econometrics : Time: 11.00 am Date: 16th of May 2023 Room 3001 Stefan VOIGT (Univ. of Copenhagen) "MARKET RESPONSES TO A VIX IMPULSE " Abstract : Implied variance (VIX) impulses can be caused by either (i) an increase in expected future realized variance, or (ii) an increase in the variance risk premium. […]
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