2005-06-01
The generalized asymmetric dynamic covariance model
Publication
Publication
Finance Research Letters , Volume 2 - Issue 2 p. 67- 74
In this paper we extend the ADC model of Kroner and Ng [1998. Review of Financial Studies 11, 817-844] such that it allows for cross-asymmetries in conditional volatility. That is, the model allows for asymmetries in covariances after shocks of opposite signs. We find evidence for significant cross-asymmetries in the conditional volatility in stock and bond markets.
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| doi.org/10.1016/j.frl.2005.04.001, hdl.handle.net/1765/76707 | |
| Finance Research Letters | |
| Organisation | Erasmus Research Institute of Management |
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de Goeij, P., & Marquering, W. (2005). The generalized asymmetric dynamic covariance model. Finance Research Letters, 2(2), 67–74. doi:10.1016/j.frl.2005.04.001 |
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