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

Journal of Banking and Finance

Volumn 31, Issue 9, 2007, Pages 2751-2769

  Daal, Elton ^a   Naka, Atsuyuki ^b   Yu, Jung Suk ^c  

^a FLORIDA INSTITUTE OF TECHNOLOGY   (United States)

^b UNIVERSITY OF NEW ORLEANS   (United States)

^c Samsung Advanced Institute of Technology (SAIT)   (South Korea)

Author keywords

Leptokurtosis; Leverage effect; Time varying jump intensity; Volatility clustering; Volatility feedback

Indexed keywords

EID: 34547957641     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jbankfin.2006.12.012     Document Type: Article

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