THE ASYMMETRIC EFFECT OF THE BUSINESS CYCLE ON THE RELATION BETWEEN STOCK MARKET RETURNS AND THEIR VOLATILITY
Year of publication: |
2006-01
|
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Authors: | Smith, P.N. ; Sorensen, S. ; Wickens, M.R. |
Institutions: | College of Business and Economics, Australian National University |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Notes: | 38 pages |
Classification: | G12 - Asset Pricing ; C32 - Time-Series Models ; C51 - Model Construction and Estimation ; E44 - Financial Markets and the Macroeconomy |
Source: |
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