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Asymmetric attention and volatility asymmetry · Study

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ArticleAsymmetric attention and volatility asymmetry

Michał Dzieliński2017

OA

Articlegreen2017

Asymmetric attention and volatility asymmetry

Michał Dzieliński · Marc Oliver Rieger · Tõnn Talpsepp

52 citations·0/0 files stored·Journal of Empirical Finance

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Financial Markets and Investment Strategies Financial Risk and Volatility Modeling Market Dynamics and Volatility

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References

1979Prospect Theory: An Analysis of Decision under Risk 1988Prospect theory: An analysis of decision under risk 1993Common risk factors in the returns on stocks and bonds 1987Expected stock returns and volatility 1989Why Does Stock Market Volatility Change Over Time?1993A long memory property of stock market returns and a new model 2011In Search of Attention 1977Estimating betas from nonsynchronous data

Cited by

2022A Comparative Analysis of the Nature of Stock Return Volatility in BRICS and G7 Markets 2018Contagion Effect of Natural Disaster and Financial Crisis Events on International Stock Markets 2019A novel UMIDAS-SVQR model with mixed frequency investor sentiment for predicting stock market volatility 2021News sentiment and stock market volatility 2018Firm-level political risk and asymmetric volatility

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Details

Year2017

Typearticle

Published2017-10-14

VenueJournal of Empirical Finance

ISSN-L0927-5398

Languageen

Citations52

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1016/j.jempfin.2017.09.010

openalex_workW2762199293

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