Extreme Asymmetric Volatility, Leverage, Feedback and Asset Prices
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Publisher
Elsevier BV
Reference46 articles.
1. Why are Stock Returns and Volatility Negatively Correlated?;J Bae;Journal of Empirical Finance,2007
2. How Accurate is the Asymptotic Approximation to the Distribution of Realised Variance?;O E Barndorff-Nielsen;Identification and Inference for Econometric Models,2005
3. Statistics of Extremes
4. Asymmetric Volatility and Risk in Equity Markets;G Bekaert;Review of Financial Studies,2000
5. The VIX, the Variance Premium and Stock Market Volatility;G Bekaert;Journal of Econometrics,2014
Cited by 2 articles. 订阅此论文施引文献 订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献
1. Stock return and cash flow predictability: The role of volatility risk;Journal of Econometrics;2015-08
2. Stock Return and Cash Flow Predictability: The Role of Volatility Risk;SSRN Electronic Journal;2012
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