Is stock market volatility asymmetric? A multi-period analysis for five countries-Reference-Cited by-同舟云学术

Is stock market volatility asymmetric? A multi-period analysis for five countries

Published:2018-06 Issue: Volume:499 Page:258-265
ISSN:0378-4371
Container-title:Physica A: Statistical Mechanics and its Applications
language:en
Short-container-title:Physica A: Statistical Mechanics and its Applications

Author:

Bentes Sonia R.

Funder

Fundação para a Ciência e Tecnologia, Portugal

Publisher

Elsevier BV

Subject

Condensed Matter Physics,Statistics and Probability

Reference26 articles.

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3. Do negative and positive equity returns share the same volatility dynamics?;Pallandri;J. Bank. Finance,2015

4. Long vs. short term asymmetry in volatility and the term structure of risk;Lönnbark;Finance Res. Lett.,2017

5. Forecasting stock return volatility: A comparison between the roles of short-term and long-term leverage effects;Pan;Physica A,2018

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