@techreport{158910a47dd14b76b9b6d0b5532c06d4,
title = "Time-varying Crash Risk: The Role of Stock Market Liquidity",
abstract = "We estimate a continuous-time model with stochastic volatility and dynamic crash probability for the S&P 500 index and find that market illiquidity dominates other factors in explaining the stock market crash risk. While the crash probability is time-varying, its dynamic depends only weakly on return variance once we include market illiquidity as an economic variable in the model. ",
keywords = "Asset pricing, Financial stability, Econometric and statistical methods, Asset pricing, Financial stability, Econometric and statistical methods",
author = "Peter Christoffersen and Bruno Feunoua and Yoontae Jeon and Chayawat Ornthanalai",
year = "2016",
month = jul,
language = "English",
series = "Staff Working Paper / Bank of Canada",
publisher = "Bank of Canada",
number = "2016-35",
address = "Canada",
type = "WorkingPaper",
institution = "Bank of Canada",
}