haku: @author Bekaert, G. / yhteensä: 14
viite: 10 / 14
| Tekijä: | Bekaert, G. Wu, G. |
| Otsikko: | Asymmetric volatility and risk in equity markets |
| Lehti: | Review of Financial Studies
2000 : SPRING, VOL. 13:1, p. 1-42 |
| Asiasana: | ASYMMETRIC INFORMATION VOLATILITY RISK STOCK MARKETS |
| Kieli: | eng |
| Tiivistelmä: | 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. |
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