Search Results - subject:"Asymmetric conditional volatility"

Can asymmetric conditional volatility imply asymmetric tail dependence?

Kim, Jong-Min; Jung, Hojin - In: Economic modelling 64 (2017), pp. 409-418

Persistent link: https://www.econbiz.de/10011761287

Asymmetric Conditional Volatility on the Romanian Stock Market

Stanciu, Florin - Center for Advanced Research in Finance and Banking … - 2009

Recent studies show that a negative shock in stock prices will generate more volatility than a positive shock of similar magnitude. The aim of this paper is to test the hypothesis under which the the conditional variance of stock returns is an asymmetric function of past information. This paper...

Persistent link: https://www.econbiz.de/10008558667

Asymmetric conditional volatility in international stock markets

Ferreira, Nuno B.; Menezes, Rui; Mendes, Diana A. - In: Physica A: Statistical Mechanics and its Applications 382 (2007) 1, pp. 73-80

Recent studies show that a negative shock in stock prices will generate more volatility than a positive shock of similar magnitude. The aim of this paper is to appraise the hypothesis under which the conditional mean and the conditional variance of stock returns are asymmetric functions of past...

Persistent link: https://www.econbiz.de/10010591398

AN ANALYSIS OF THE CONDITIONAL VOLATILITY DYNAMICS OF THE AUSTRALIAN BUSINESS CYCLE

Ho, Kin-Yip; Tsui, Albert K; Zhang, Zhaoyong - In: Journal of Economic Development 32 (2007) 2, pp. 157-182

conditional volatility in the growth rates of the Australian real GDP and the other components is weak. Despite the weak evidence … bivariate asymmetric GARCH specifications. Except for the case of gross fixed capital formation, the evidence of asymmetric …

Persistent link: https://www.econbiz.de/10009351197