Time-varying crash risk : the role of stock market liquidity / by Peter Christoffersen, Bruno Feunou, Yoontae Jeon and Chayawat Ornthanalai.: FB3-5/2016-35E-PDF

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publications.gc.ca/pub?id=9.912198&sl=0

Publication information
Department/Agency Bank of Canada, issuing body.
Title Time-varying crash risk : the role of stock market liquidity / by Peter Christoffersen, Bruno Feunou, Yoontae Jeon and Chayawat Ornthanalai.
Series title Staff working paper = Document de travail du personnel, 1701-9397 ; 2016-35
Publication type Series - View Master Record
Language [English]
Format Electronic
Electronic document
Note(s) Includes bibliographical references (pages 27-30).
Includes abstract in French.
Publishing information Ottawa, Ontario, Canada : Bank of Canada = Banque du Canada, July 2016.
Author / Contributor Christoffersen, Peter, author.
Description 1 online resource (ii, 53 pages) : charts.
Catalogue number
  • FB3-5/2016-35E-PDF
Subject terms Liquidity (Economics)
Stock exchanges -- Econometric models -- Canada.
Liquidité (Économie politique)
Bourse -- Modèles économétriques -- Canada.
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