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Common non-linearities in multiple series of stock market volatility

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Version 2 2022-11-08, 05:08
Version 1 2022-11-08, 04:57
journal contribution
posted on 2022-11-08, 05:08 authored by Heather M. Anderson, Farshid Vahid
Decreases in stock market returns often lead to higher increases in volatility than increases in returns of the same magnitude, and it is common to incorporate these

History

Classification-JEL

C13, C23, C52, C53, G17, G32

Creation date

2013-01-01

Working Paper Series Number

1/13

Length

33 pp

File-Format

application/pdf

Handle

RePEc:msh:ebswps:2013-1

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