Asymmetric conditional volatility in international stock markets
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 info...
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| Outros Autores: | , |
| Formato: | article |
| Idioma: | eng |
| Publicado em: |
2017
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| Assuntos: | |
| Texto completo: | https://ciencia.iscte-iul.pt/id/ci-pub-13463 |
| País: | Portugal |
| Oai: | oai:repositorio.iscte-iul.pt:10071/13989 |