Stock returns, implied volatility innovations, and the asymmetric volatility phenomenon

Journal of Financial and Quantitative Analysis

Volumn 41, Issue 2, 2006, Pages 381-406

  Dennis, Patrick ^a   Mayhew, Stewart ^b   Stivers, Chris ^c  

^a UNIVERSITY OF VIRGINIA   (United States)

^b United States Securities and Exchange Commission   (United States)

^c UNIVERSITY OF GEORGIA   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 33745317631     PISSN: 00221090     EISSN: None     Source Type: Journal    
DOI: 10.1017/S0022109000002118     Document Type: Article

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