This paper investigates whether positive and negative returns share the same dynamic volatility process. The well established stylized facts on volatility persistence and asymmetric effects are re-examined in light of such dichotomy. To analyze the dynamics of up and down volatilities estimated...

The inverse relation between stock returns and their volatility, known as volatility leverage-effect (VLE), is documented as a strikingly robust empirical regularity. This paper argues that existing explanations of the phenomenon either suffer from logical inconsistencies or have secondary...