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

DOI10.1023/A:1009635408094zbMATH Open1153.91707MaRDI QIDQ1000418FDOQ1000418

Michel Crouhy, M. Rockinger

Publication date: 6 February 2009

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

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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)

Cited In (4)

• A double-threshold GARCH model of stock market and currency shocks on stock returns
• The Asymmetric Reverting Property of Stock Returns
• Asymmetric response and interaction of U.S. and local news in financial markets
• Surprise volume and heteroskedasticity in equity market returns

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