Is volatility clustering of asset returns asymmetric?

Cathy Ning, Dinghai Xu and Tony S. Wirjanto

Year of publication:	2014
Authors:	Ning, Cathy Q. ; Xu, Dinghai ; Wirjanto, Tony S.
Publisher:	Toronto : Ryerson Univ., Dep. of Economics
Subject:	Volatility clustering \| Univariate time series copulas \| Realized kernel volatility \| Value-at-Risk \| Kapitalmarktrendite \| Capital market returns \| Volatilität \| Volatility \| Risikomaß \| Risk measure \| Nichtparametrische Schätzung \| Nonparametric estimation \| Welt \| World \| 1999-2009

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