Stock market volatlity and the effect of rare events

Type
  • Bachelor Thesis Business Administration
  • Master Thesis Business Administration
Status
completed
Tutor
Jonas Dorlöchter, M.Sc.

Abstract

Einführungsliteratur:

  • Wachter, Jessica, “Can Time-Varying Risk of Rare Disasters Explain Aggregate Stock Market Volatility?,” NBER Working Paper no. 14386, 2009.
  • Malmendier, Ulrike, and Stefan Nagel, 2011, Depression babies: Do macroeconomic experiences affect risk-taking?Quarterly Journal of Economics126, 373–416.
  • Barro R. J., Rare disasters and asset markets in the twentieth century, Quarterly Journal of Economics, 2006, vol. 121 (pg. 823-66).