On Asymmetric Volatility In Equity Markets

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On Asymmetric Volatility in Equity Markets

On Asymmetric Volatility in Equity Markets
Author :
Publisher :
Total Pages : 246
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ISBN-10 : OCLC:79865351
ISBN-13 :
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Book Synopsis On Asymmetric Volatility in Equity Markets by : Guojun Wu

Download or read book On Asymmetric Volatility in Equity Markets written by Guojun Wu and published by . This book was released on 1998 with total page 246 pages. Available in PDF, EPUB and Kindle. Book excerpt:


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It appears that volatility in equity markets is asymmetric: returns and conditional volatility are negatively correlated. We provide a unified framework to simu
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The observation that price declines usually lead to volatility increases is known as the asymmetric volatility effect and has become a stylized fact about the f
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