| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP12824 |
| DP12824 Volatility, diversification and contagion | |
| ENRIQUE SENTANA | |
| 发表日期 | 2018-03-27 |
| 出版年 | 2018 |
| 语种 | 英语 |
| 摘要 | In this paper I describe in detail the concepts of volatility, diversification and contagion, three basic keys to understand the seemingly whimsical behaviour of financial markets. The presentation is deliberately non-technical and largely self-contained, with most required concepts defined along the way. Nevertheless, the analysis is mostly empirically oriented, with an emphasis on the methods that have been proposed to measure those concepts and a discussion of the stylised facts that the resulting measures imply. I also use those measures to study the effects of the financial crisis of 2007-2008 and the euro sovereign debt crisis of 2010-2012 on Spain. |
| 主题 | Financial Economics |
| 关键词 | Correlation Dependence Stock markets Volatility derivatives |
| URL | https://cepr.org/publications/dp12824 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/541634 |
| 推荐引用方式 GB/T 7714 | ENRIQUE SENTANA. DP12824 Volatility, diversification and contagion. 2018. |
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