Explaining Asymmetric 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.[...]

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Year of publication:	2009-02-28
Authors:	Talpsepp, Tonn ; Rieger, Marc Oliver
Institutions:	Institut für Schweizerisches Bankwesen <Zürich>
Subject:	Leverage-Effekt \| Blankoverkauf \| Volatilität \| Preisänderung \| declining price anomaly \| Asymmetrie

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Extent:	588800 bytes 53 p. application/pdf
Series:	Universität Zürich - Institut für Schweizerisches Bankwesen - Research Papers Research Paper ; Feb. (2009)
Type of publication:	Book / Working Paper
Language:	English
Classification:	D49 - Market Structure and Pricing. Other ; G15 - International Financial Markets ; G19 - General Financial Markets. Other ; Capital budgeting, budgetary planning and budgetary control ; Management of financial services: stock exchange and bank management science (including saving banks) ; Individual Working Papers, Preprints ; Global Resources
Source:	USB Cologne (business full texts)

Persistent link: https://www.econbiz.de/10009022138