Explaining Assymetric Volatility Around the World

Based on the APARCH model and two outlier detection methods, we computereliable time series of volatility asymmetry for 49 countries with relatively few ob-servations. Results show a steady increase in the asymmetry over the years for mostcountries. We nd that economic development and market capitalization/GDP arethe most important factors that increase volatility asymmetry.[...]

MoreLess

Year of publication:	2009-02-28
Authors:	Talpsepp, Tõnn ; Rieger, Marc Oliver
Institutions:	National Centre of Competence in ResearchFinancial Valuation and Risk Management
Subject:	Leverage-Effekt \| Volatilität \| Wirtschaftliche Entwicklung \| Asymmetrie

freely available

Full text |

More access options

Check Google Scholar

In German libraries (KVK)

I need help

1. Introduction
2. Previous Results
3. Methodology
3.1. ASYMMETRY CALCULATIONS
3.2. OUTLIER DETECTION METHODS
3.3. DATA SMOOTHING METHODS
4. Data
5. How Big is the Volatility Asymmetry across Time and Space?
5.1. COMPARISON BETWEEN COUNTRIES
5.2. TIME DYNAMICS OF VOLATILITY ASYMMETRY
5.3. COMPARISON OF OUR RESULTS WITH PREVIOUS STUDIES
6. What Causes Volatility Asymmetry?
6.1. VOLATILITY ASYMMETRY AND THE LEVERAGE EFFECT
6.2. VOLATILITY ASYMMETRY AND RISK PREMIUM
6.3. VOLATILITY ASYMMETRY AND MARKET EFFICIENCY
6.4. VOLATILITY ASYMMETRY AND SHORT-SELLING
6.5. VOLATILITY ASYMMETRY AND INDIVIDUAL INVESTORS
6.6. VOLATILITY ASYMMETRY, MEDIA AND ANALYSTS
6.7. OTHER POSSIBLE FACTORS
7. Conclusions
References

Persistent link: https://www.econbiz.de/10005868728