search query: @author Wu, G. / total: 5
reference: 4 / 5
| Author: | Bekaert, G. Wu, G. |
| Title: | Asymmetric volatility and risk in equity markets |
| Journal: | Review of Financial Studies
2000 : SPRING, VOL. 13:1, p. 1-42 |
| Index terms: | ASYMMETRIC INFORMATION VOLATILITY RISK STOCK MARKETS |
| Language: | eng |
| Abstract: | This paper investigates the leverage effect and the time-varying risk premium explanations of the asymmetric volatility phenomenon at both the market and firm level. A conditional CAPM model is proposed with a GARCH-in-mean parametrization ensuring time variation in conditional means, variances and covariances. |
SCIMA