Brooks, Chris; Henry, Olan T.; Persand, Gita - In: The Journal of Business 75 (2002) 2, pp. 333-352
There is widespread evidence that the volatility of stock returns displays an asymmetric response to good and bad news. This article considers the impact of asymmetry on time-varying hedges for financial futures. An asymmetric model that allows forecasts of cash and futures return volatility to...