7金融与黑天鹅.pptVIP

Large shocks Charles A, Darné O. Large shocks in the volatility of the Dow Jones Industrial Average index: 1928-2013[J]. Journal of Banking Finance, 2014, 43: 188-199. We determine the events that cause large shocks in volatility of the DJIA index over the period 1928–2013, using a new semi-parametric test based on conditional heteroscedasticity models. We find that these large shocks can be associated with particular events (financial crashes, elections, wars, monetary policies, etc.). We show that some shocks are not identified as extraordinary movements by the investors due to their occurring during high volatility episodes, especially the 1929–1934, 1937–1938 and 2007–2011 periods. Dendramis Y, Kapetanios G, Tzavalis E. Level shifts in stock returns driven by large shocks[J]. Journal of Empirical Finance, 2014, 29: 41-51. This paper employs a parametric model of persistent (level) shifts in the conditional mean of stock market returns which are endogenously driven by large positive or negative return shocks. These shocks can be taken to reflect important market announcements, monetary policy regime changes and/or changes in business conditions affecting stock market. Implementation of the model to the US stock market indicates that it can successfully capture level shifts in the mean of the aggregate return of this market which follow a cyclical pattern. Most of these shifts are triggered by negative large return shocks. The latter can be of smaller magnitude than that of the positive ones.? * Disaster risk Barro R J. Rare disasters and asset markets in the twentieth century[J]. The Quarterly Journal of Economics, 2006: 823-866. The potential for rare economic disasters explains a lot of asset-pricing puzzles. I calibrate disaster probabilities from the twentieth century global history, especially the sharp contractions associated with World War I, the Great Depression, and World War II. The puzzles that can be explained include the high equity premium,