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

DOI10.1023/A:1009635408094MaRDI QIDQ1000418zbMATHFDO

Authors Michel Crouhy, M. 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) Statistical methods; economic indices and measures (91B82) Economic models of real-world systems (e.g., electricity markets, etc.) (91B74)

Recommendations

• Modeling the changing asymmetry of conditional variances
• scientific article; zbMATH DE number 1984183
• Long memory and asymmetric volatility behaviour of the Malaysian stock market: a statistical modelling approach
• Modeling the interactions between volatility and returns using EGARCH-M
• The Asymmetric Reverting Property of Stock Returns

Cited in

(5)

• An empirical analysis of volatility clustering and asymmetry for the common stocks using FIEGARCH and EGARCH models
• Asymmetric response and interaction of U.S. and local news in financial markets
• The Asymmetric Reverting Property of Stock Returns
• Surprise volume and heteroskedasticity in equity market returns
• A double-threshold GARCH model of stock market and currency shocks on stock returns

This page was built for publication: Volatility clustering, asymmetry and hysteresis in stock returns: International evidence

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1000418)