Braun, Phillip A; Nelson, Daniel B; Sunier, Alain M - In: Journal of Finance 50 (1995) 5, pp. 1575-1603
The authors investigate the conditional covariances of stock returns using bivariate exponential ARCH models. These models allow market volatility, portfolio-specific volatility, and beta to respond asymmetrically to positive and negative market and portfolio returns, i.e., 'leverage' effects....