Asymmetric correlations in equity returns: a fundamental-based explanation

Informa UK Limited - Tập 21 Số 6 - Trang 389-399 - 2011
Liang Ding1, Hiroyoki Miyake2, Hao Zou3
1Department of Economics , Macalester College , 1600 Grand Avenue, St. Paul, MN 55105, USA
2McKinsey , Roppongi First Building, 9th Floor, 9-9 Roppongi 1-chome, Minato-ku, Tokyo 106-8509, Japan
3Federal Reserve Bank of Chicago, Chicago, USA

Tóm tắt

Từ khóa


Tài liệu tham khảo

10.1093/rfs/15.4.1137

10.1016/S0304-405X(02)00068-5

Barber B, 2009, Review of Financial Studies, 21, 785, 10.1093/rfs/hhm079

10.1016/S0304-405X(98)00027-0

10.1086/261527

10.1111/j.1540-6261.1995.tb05189.x

10.1198/jbes.2009.0025

10.1016/0304-405X(92)90037-X

10.1080/0960310042000176399

Cho YH, 1999, Time-varying betas and asymmetric effect of news: empirical analysis of blue chip stocks, 10.3386/w7330

10.1111/1540-6261.00504

10.1080/09603100410001673685

10.1198/073500102288618487

Engle RF, 2001, Theoretical and empirical properties of dynamic conditional correlation multivariate GARCH, 10.3386/w8554

10.1093/rfs/hhl037

10.2307/2329228

10.1093/rfs/11.4.817

Liau YS, 2007, Applied Financial Economics, 18, 411, 10.1080/09603100600959878

10.1016/0261-5606(94)00001-H

10.1111/0022-1082.00340

10.1080/09603100500426523

10.1257/jep.23.1.101

Silvennoinen A, 2008, Multivariate GARCH models

10.1016/S0304-4076(99)00080-9

10.1093/rfs/12.5.975

Wong ASK, 2003, Modelling time-varying correlations of financial markets