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Persistent link: https://www.econbiz.de/10011349501
It appears that volatility in equity markets is asymmetric: returns and conditional volatility are negatively … correlated. We provide a unified framework to simultaneously investigate asymmetric volatility at the firm and the market level … empirical evidence on asymmetry to Japanese stocks. Although volatility asymmetry is present and significant at the market and …
Persistent link: https://www.econbiz.de/10012472796
It appears that volatility in equity markets is asymmetric: returns and conditional volatility are negatively … correlated. We provide a unified framework to simultaneously investigate asymmetric volatility at the firm and the market level … empirical evidence on asymmetry to Japanese stocks. Although volatility asymmetry is present and significant at the market and …
Persistent link: https://www.econbiz.de/10012783965
Persistent link: https://www.econbiz.de/10014536734
Innovations in volatility constitute a potentially important asset pricing risk factor that can be tested using the …
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Little is known about the location of bank risk, i.e., which investors in which countries hold bank-issued securities like bonds and stocks. In this paper, we analyze the (re-)distribution of bank risk across asset classes (short- and long-term debt, equity), across investor types and across...
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