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Mathematical sciences / Volatility / Skewness / Beta / Log-normal distribution / Stock market / Skewness risk / Post-modern portfolio theory / Mathematical finance / Statistics / Financial economics


Journal of Financial Economics[removed]–381 Forecasting crashes: trading volume, past returns, and conditional skewness in stock prices$ Joseph Chena, Harrison Honga, Jeremy C. Steinb,*
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Document Date: 2004-08-25 02:27:21

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City

Cambridge / Lexington / /

Company

Pearson / ADRs / Elsevier Science S.A. / AMEX / REITs / NYSE / /

Country

United States / /

Currency

USD / /

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Event

Reorganization / /

Facility

Stanford University / Harvard University / /

IndustryTerm

corner solution / option-pricing software / /

MarketIndex

S&P 500 / NASDAQ 100 / CRSP / /

Organization

UCLA / Graduate School / Harvard University / National Science Foundation / Cornell / Stanford University / USA Department of Economics / U.S. Securities and Exchange Commission / Harvard Business School / /

Person

Ken Singleton / Chris Lamoreaux / Joseph Chena / Ken Froot / Kent Daniel / Harrison Honga / Jun Pan / Raviv / Jeremy C. Steinb / John Campbell / Ravi Jagannathan / /

Position

volatility-feedback model of Campbell / *Corresponding author / important driver / dealer / /

ProvinceOrState

Texas / Maryland / California / Arizona / Massachusetts / /

PublishedMedium

the CRSP daily / Journal of Financial Economics / /

SportsLeague

Stanford University / /

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