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Investigating asymmetry in US stock market indexes : evidence from a stochastic volatility model
Cappuccio, Nunzio; Lubian, Diego; Raggi, Davide - In: Applied financial economics 16 (2006) 6, pp. 479-490
Persistent link: https://www.econbiz.de/10003335022
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The information content of idiosyncratic volatility
Jiang, George J.; Xu, Danielle; Yao, Tong - In: Journal of financial and quantitative analysis : JFQA 44 (2009) 1, pp. 1-28
Persistent link: https://www.econbiz.de/10003854340
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Stock price jumps and cross-sectional return predictability
Jiang, George J.; Yao, Tong - In: Journal of financial and quantitative analysis : JFQA 48 (2013) 5, pp. 1519-1544
Persistent link: https://www.econbiz.de/10010343638