It is well noted in the literature that volatility responds differently to positive and negative shocks. In this paper …, we explore the impact of ESG ratings on such asymmetric behavior of volatility. For this analysis, we use the return data … apply autoregressive moving average models for the conditional means and GARCH and stochastic volatility models for the …

This paper aims to examine the symmetric and asymmetric effects of third country exchange rate volatility on the trade … and import industries are the sample frame. We find that separating increased volatility from declines and introducing a … nonlinear adjustment to the volatility shows a more significant outcome than symmetric analysis. Different industries carry …

The inhomogeneity of the cross-sectional distribution of realized assets’ volatility is explored and used to build a …-sectional distribution of realized volatility is captured by a finite Gaussian mixture model plus a uniform component that represents … abnormal variations in volatility. Based on the cross-sectional mixture model, at each time point, memberships of assets to …

Financial volatility obeys two fascinating empirical regularities that apply to various assets, on various markets, and …