Lai, Yu-Sheng; Sheu, Her-Jiun - In: Applied Financial Economics 21 (2011) 11, pp. 801-813
Asymmetric responses to news in volatilities and correlations are important characteristics of many financial asset returns. This study investigates the asymmetries on spot and futures and extends the work of Kroner and Sultan (1993) using the Asymmetric Dynamic Conditional Correlation (ADCC)...