22 citations · 35 across the 4 of their papers we have counts for
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q-fin.PR2016
Unravelling the Asymmetric Volatility Puzzle: A Novel Explanation of Volatility Through Anchoring
Mihaly Ormos, Dusan Timotity
This paper discusses a novel explanation for asymmetric volatility based on the anchoring behavioral pattern. Anchoring as a heuristic bias causes investors focusing on recent pric…
q-fin.PR2015★ 11 cited
Generalized asset pricing: Expected Downside Risk-Based Equilibrium Modelling
Mihaly Ormos, Dusan Timotity
We introduce an equilibrium asset pricing model, which we build on the relationship between a novel risk measure, the Expected Downside Risk (EDR) and the expected return. On the o…