Cappuccio, Nunzio; Lubian, Diego; Raggi, Davide - In: Applied Financial Economics 16 (2006) 6, pp. 479-490
This study provides empirical evidence on asymmetry in financial returns using a simple stochastic volatility model which allows a parsimonious yet flexible treatment of both skewness and heavy tails in the conditional distribution of returns. In particular, it is assumed that returns have a...