• Financial Distress and Idiosyncratic Volatility: An Empirical Investigation 

      Chen, Jing; Chollete, Lorán (Discussion paper, Working paper, 2006-07)
      We address the twin puzzles of anomalously low returns for high idiosyncratic volatility and high distress risk stocks, documented by Ang, Hodrick, Xing and Zhang (2006) and Campbell, Hilscher and Szilagyi (2005), respectively. ...
    • Frequent Turbulence? A Dynamic Copula Approach 

      Chollete, Lorán; Heinen, Andreas (Discussion paper, Working paper, 2006-07)
      How common and how persistent are turbulent periods? We address these questions by developing and applying a dynamic dependence framework. In order to answer the first question we estimate an unconditional mixture model ...
    • Modeling international financial returns with a multivariate regime switching copula 

      Chollete, Lorán; Heinen, Andreas; Valdesogo, Alfonso (Discussion paper, Working paper, 2008-03)
      In order to capture observed asymmetric dependence in international financial returns, we construct a multivariate regime-switching model of copulas. We model dependence with one Gaussian and one canonical vine copula ...
    • Pricing Implications of Shared Variance in Liquidity Measures 

      Chollete, Lorán; Næs, Randi; Skjeltorp, Johannes A. (Discussion paper, Working paper, 2006-07)
      This paper constructs fundamental liquidity measures and investigates the pricing implications of shared variation in a large set of high frequency liquidity measures. Through a common factor analysis we estimate three ...
    • The propagation of financial extremes 

      Chollete, Lorán (Discussion paper, Working paper, 2008-07)
      What drives extreme economic events? Motivated by recent theory, and events in US subprime markets, we begin to open the black box of extremes. Specifically, we extend standard economic analysis of extreme risk, allowing ...
    • The propagation of financial extremes: an application to subprime market spillovers 

      Chollete, Lorán (Discussion paper, Working paper, 2007-12)
      What drives extreme and rare economic events? Motivated by recent theory, and events in US subprime markets, we begin to open the black box of extremes. Specifically, we build a taxonomy of extremes, then extend standard ...
    • The risk components of liquidity 

      Chollete, Lorán; Næs, Randi; Skjeltorp, Johannes A. (Discussion paper, Working paper, 2008-03)
      Does liquidity risk differ depending on our choice of liquidity proxy? Unlike literature that considers common liquidity variation, we focus on identifying different components of liquidity, statistically and economically, ...