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Symmetric versus asymmetric conditional covariance forecasts : does it pay to switch?
Thorp, Susan; Milunovich, George - In: The journal of financial research 30 (2007) 3, pp. 355-377
Persistent link: https://www.econbiz.de/10003536978
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Value-at-risk forecasting of Chinese stock index and index future under jumps, permanent component, and asymmetric information
Li, Shaoyu; Wei, Lijia; Huang, Zehua - In: Emerging markets finance & trade : a journal of the … 52 (2016) 4/6, pp. 1072-1091
Persistent link: https://www.econbiz.de/10011563272
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Asymmetric information and volatility forecasting in commodity futures markets
Liu, Qingfu; Wong, Ieokhou; An, Yunbi; Zhang, Jinqing - In: Pacific-Basin finance journal 26 (2014), pp. 79-97
Persistent link: https://www.econbiz.de/10010498758
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Information Content in Sneer Asymmetry : An Application to OOS Implied Volatility Forecasting
Choi, Youngsoo - 2012
The ad hoc Black-Scholes (AHBS) model is one of the most widely used option valuation models among practitioners models. The main contribution of this study is methodological. We have two main results: (1) we make the empirical observation that typically the call and put sneers are discontinuous...
Persistent link: https://www.econbiz.de/10013097543
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Comovement, liquidity and asymmetries
Xiong, James X. - In: Journal of investment management : JOIM 19 (2021) 1, pp. 90-108
Persistent link: https://www.econbiz.de/10012814373
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Asymmetric information, volatility components and the volume-volatility relationship for the CAC40 stocks
Slim, Skander; Dahmene, Meriam - In: Global finance journal 29 (2016), pp. 70-84
Persistent link: https://www.econbiz.de/10011714574
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Asymmetric Attention and Volatility Asymmetry
Dzieliński, Michał - 2017
Analyzing a large sample of U.S. firms, we show that the asymmetry of stock return volatility is positively related to …. Furthermore, the effect of attention is strongest among stocks with low institutional ownership and high idiosyncratic volatility …. Our results are robust to the traditional "leverage effect'' explanation of volatility asymmetry. The findings relate to …
Persistent link: https://www.econbiz.de/10012948570
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Time-to-maturity and commodity futures return volatility : the role of time-varying asymmetric information
Phan Hoang Long; Zurbruegg, Ralf; Brockman, Paul; Yu, … - In: Journal of commodity markets 26 (2022), pp. 1-19
Persistent link: https://www.econbiz.de/10013450908
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Structural change, information asymmetry and volatility in Indian stock market : evidence from pre-and-post-COVID-19 outbreak
Mohanasundaram, T.; Rizwana, M.; Sathyanarayana, S.; … - In: Afro-Asian Journal of Finance and Accounting : AAJFA 14 (2024) 3, pp. 412-431
Persistent link: https://www.econbiz.de/10014546120
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Asymmetric information impacts : evidence from the Australian treasury-bond futures market
Zou, Liping; Rose, Lawrence Craig; Pinfold, John F. - In: Pacific economic review 12 (2007) 5, pp. 665-681
Persistent link: https://www.econbiz.de/10003597880