Why are stock returns and volatility negatively correlated?

Journal of Empirical Finance

Volumn 14, Issue 1, 2007, Pages 41-58

  Bae, Jinho ^a   Kim, Chang Jin ^b,c   Nelson, Charles R ^c  

^a Yeungnam University   (South Korea)

^b Korea University   (South Korea)

^c UNIVERSITY OF WASHINGTON   (United States)

Author keywords

Asymmetric volatility; GARCH; Leverage effect; Regime switching; Volatility feedback

Indexed keywords

EID: 33846321215     PISSN: 09275398     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jempfin.2006.04.005     Document Type: Article

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