Blair, Bevan; Poon, Ser-Huang; Taylor, Stephen - In: Applied Financial Economics 12 (2002) 5, pp. 319-329
The volatility processes of the S&P 100 index and all its constituent stocks are compared after estimating ARCH models from ten years of daily returns, from 1983 to 1992. The leverage effect of Black (1976) is estimated from an extension of the asymmetric volatility model of Glosten et al....
