Gençay, Ramazan; Whitcher, Brandon; Selçuk, Faruk - Institut für Schweizerisches Bankwesen <Zürich>; … - 2002
volatility across di.erent time scales. We call this property asymmetric vertical dependence. It is asymmetric in the sense that … a low volatility state (regime) at a long time horizon is most likely followed by low volatility states at shorter time … horizons. On the other hand, a high volatility state at long time horizons does not necessarily imply a high volatility state …