Asymmetric relationship between implied volatility, index returns and trading volume: an application of quantile regression model
Author:
Publisher
Springer Science and Business Media LLC
Subject
General Medicine
Link
http://link.springer.com/content/pdf/10.1007/s40622-019-00218-5.pdf
Reference47 articles.
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3. Badshah IU (2012) Quantile regression analysis of the asymmetric return-volatility relation. J Futures Markets 33(3):223–265. https://doi.org/10.1002/fut.21551
4. Badshah I, Frijns B, Knif J, Tourani-Rad A (2016) Asymmetries of the intraday return-volatility relation. Int Rev Financ Anal 48:182–192. https://doi.org/10.1016/j.irfa.2016.09.016
5. Campbell J, Hentschel L (1992) No news is good news: an asymmetric model of changing volatility in stock returns. J Financ Econ 31(3):281–318. https://doi.org/10.1126/science.1361684
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1. Nonlinear Relationship Between Investor Sentiment and Conditional Volatility in Emerging Equity Markets;Asia-Pacific Financial Markets;2024-02-28
2. Another look at the asymmetric relationship between stock returns and trading volume: evidence from the Markov-switching model;Review of Accounting and Finance;2023-12-15
3. Foreign ownership, heterogeneous beliefs, and stock market volatility;Finance Research Letters;2023-07
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