Extreme Risk in Markets
The research distinguishes between two types of extreme financial market risk - sudden price jumps and volatility bursts - using ultra-high-frequency data and a specific thresholding technique.
Featured in No. 91 on 2 Apr 2025 · 2 days after release
- Released
- 31 Mar 2025
- First featured
- No. 91 · 2 Apr 2025
- Published in
- Not yet, as far as Semantic Scholar knows
- Shares when featured
- 2
- Identifier
- SSRN 5199540
Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).