Volatility clustering, asymmetry and hysteresis in stock returns: International evidence

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Publication:1000418

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DOI10.1023/A:1009635408094zbMath1153.91707MaRDI QIDQ1000418

Michel Crouhy, Michael Rockinger

Publication date: 6 February 2009

Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic models of real-world systems (e.g., electricity markets, etc.) (91B74) Statistical methods; economic indices and measures (91B82)

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