Is volatility clustering of asset returns asymmetric?

Journal of Banking and Finance

Volumn 52, Issue , 2015, Pages 62-76

  Ning, Cathy ^a   Xu, Dinghai ^b   Wirjanto, Tony S ^b  

^a RYERSON UNIVERSITY   (Canada)

^b UNIVERSITY OF WATERLOO   (Canada)

Author keywords

Realized kernel volatility; Univariate time series copulas; Value at Risk; Volatility clustering

Indexed keywords

EID: 84921642427     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jbankfin.2014.11.016     Document Type: Article

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