Market risk and the concept of fundamental volatility: Measuring volatility across asset and derivative markets and testing for the impact of derivatives markets on financial markets

B-Tier

Journal: Journal of Banking & Finance

Year: 2000

Volume: 24

Issue: 5

Pages: 759-785

Authors (2)

Hwang, Soosung (Sungkyunkwan University) Satchell, Stephen E. (not in RePEc)

Score contribution per author:

1.005 = (α=2.01 / 2 authors) × 1.0x B-tier

α: calibrated so average coauthorship-adjusted count equals average raw count