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"Asymmetric Dependence (hereafter, AD) is usually thought of as a cross-sectional phenomenon. Andrew Patton describes AD as "stock returns appear to be more highly correlated during market downturns than during market upturns." (Patton, 2004) Thus at a point in time when the market return is...
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-- References -- Further Reading -- Chapter 4: Misspecification in an Asymmetrically Dependent World: Implications for Volatility …
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