How Crashes Develop: Intradaily Volatility and Crash Evolution

This paper explores whether affine models with volatility jumps estimated on intradaily S&P 500 futures data over 1983 to 2008 can capture major daily outliers such as the 1987 stock market crash. Intradaily jumps in futures prices are typically small; self-exciting but short-lived volatility sp...

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Bibliographic Details
Published in:	The Journal of finance (New York) Vol. 74; no. 1; pp. 193 - 238
Main Author:	BATES, DAVID S.
Format:	Journal Article
Language:	English
Published:	Cambridge Wiley Periodicals, Inc 01.02.2019 Blackwell Publishers Inc
Subjects:	Futures Prices Securities markets Stock exchanges Stock market crashes Volatility
ISSN:	0022-1082, 1540-6261
Online Access:	Get full text
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