مرکز منطقه ای اطلاع رساني علوم و فناوري - Volatility clustering, leverage effects, and jump dynamics in the US and emerging Asian equity markets

Title of article :

Volatility clustering, leverage effects, and jump dynamics in the US and emerging Asian equity markets

Author/Authors :

Elton Daal، نويسنده , , Atsuyuki Naka، نويسنده , , Jung-Suk Yu، نويسنده ,

Issue Information :

روزنامه با شماره پیاپی سال 2007

Pages :

From page :

2751

To page :

2769

Keywords :

Volatility clustering , Time-varying jump intensity , Leptokurtosis , Leverage effect , Volatility feedback

Journal title :

Journal of Banking and Finance

Serial Year :

2007

Journal title :

Journal of Banking and Finance

Record number :

194102

Link To Document :