Tail risk and the return-volatility relation

被引：7

作者：

Aboura, Sofiane ^{[1
]}

Chevallier, Julien ^{[2
,3
]}

机构：

[1] Univ Paris XIII, Sorbonne Paris Cite, CEPN, CNRS,UMR 7234, 99 Ave Jean Baptiste Clement, F-93430 Villetaneuse, France

[2] IPAG Business Sch, IPAG Lab, 184 Blvd St Germain, F-75006 Paris, France

[3] Univ Paris 8 LED, 2 Ave Liberte, F-93526 St Denis, France

来源：

RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE | 2018年 / 46卷

关键词：

Tail risk; Leverage effect; Feedback effect; Dynamic conditional correlation; VIX; SKEW; VVIX; CONDITIONAL HETEROSKEDASTICITY; MODEL; LEVERAGE; NEWS;

D O I：

10.1016/j.ribaf.2016.07.036

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This article brings new insights on the time-varying leverage and feedback effects in equity markets. The lead-lag return-volatility relation is examined by resorting to time-varying asymmetric dynamic conditional correlation models that allows for asymmetry (ADCC) and spillovers (ADCCX) with tail risk lagged variables (SKEW, VVIX) from 1990 to 2014. Empirical findings reveal that the dynamic leverage effect is the most influential in driving equity markets. The volatility of volatility (VVIX) exhibits a significant influence on the dynamic feedback effect only. (C) 2016 Elsevier B.V. All rights reserved.

引用

页码：16 / 29

页数：14

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