Essec\Faculty\Model\Contribution {#2216
  #_index: "academ_contributions"
  #_id: "2730"
  #_source: array:26 [
    "id" => "2730"
    "slug" => "the-treshold-effect-in-expected-volatility-a-model-based-on-asymmetric-information"
    "yearMonth" => "1997-01"
    "year" => "1997"
    "title" => "The Treshold Effect in Expected Volatility : A Model based on Asymmetric Information."
    "description" => "LONGIN, F. (1997). The Treshold Effect in Expected Volatility : A Model based on Asymmetric Information. <i>Review of Financial Studies</i>, pp. 837-869."
    "authors" => array:1 [
      0 => array:3 [
        "name" => "LONGIN François"
        "bid" => "B00000328"
        "slug" => "longin-francois"
      ]
    ]
    "ouvrage" => ""
    "keywords" => []
    "updatedAt" => "2020-12-17 17:55:06"
    "publicationUrl" => null
    "publicationInfo" => array:3 [
      "pages" => "837-869"
      "volume" => null
      "number" => null
    ]
    "type" => array:2 [
      "fr" => "Articles"
      "en" => "Journal articles"
    ]
    "support_type" => array:2 [
      "fr" => "Revue scientifique"
      "en" => "Scientific journal"
    ]
    "countries" => array:2 [
      "fr" => null
      "en" => null
    ]
    "abstract" => array:2 [
      "fr" => "Cet article développe une approche théorique pour expliquer l'effet de seuil observé dans la volatilité anticipée des prix des actifs financiers. L'effet de seuil signifie que les larges chocs sont moins persistants que les petits chocs dans la volatilité. Le modèle est similaire à celui construit par Kyle, Admati et Pfeiderer : il comprend des agents de liquidité, des agents informés et un mainteneur de marché. Le processus d'information est modelisé par un processus GARCH. Le processus du prix de marché suit alors un processus TARCH (pour GARCH à seuil)."
      "en" => "This article develops theoretical insight into the treshold effect in expected volatility, which means that large shocks are less persistent in volatility than small shocks. The model uses the Kyle-Admati-Pfeiderer setup with liquidity traders, informed traders and a market maker. Information is modeled as a GARCH process. It is shown that the GARCH process for information is transformed into a TARCH process (meaning "treshold GARCH") for the market price changes."
    ]
    "authors_fields" => array:2 [
      "fr" => "Finance"
      "en" => "Finance"
    ]
    "indexedAt" => "2024-12-03T16:21:42.000Z"
    "docTitle" => "The Treshold Effect in Expected Volatility : A Model based on Asymmetric Information."
    "docSurtitle" => "Journal articles"
    "authorNames" => "<a href="/cv/longin-francois">LONGIN François</a>"
    "docDescription" => "<span class="document-property-authors">LONGIN François</span><br><span class="document-property-authors_fields">Finance</span> | <span class="document-property-year">1997</span>"
    "keywordList" => ""
    "docPreview" => "<b>The Treshold Effect in Expected Volatility : A Model based on Asymmetric Information.</b><br><span>1997-01 | Journal articles </span>"
    "docType" => "research"
    "publicationLink" => "<a href="#" target="_blank">The Treshold Effect in Expected Volatility : A Model based on Asymmetric Information.</a>"
  ]
  +lang: "en"
  +"_type": "_doc"
  +"_score": 9.198268
  +"parent": null
}