The asymmetric return-volatility relationship of commodity prices
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DOI: 10.1016/j.eneco.2018.10.022
Abstract: There is a well documented asymmetric return-volatility effect of equity returns, that is, negative shocks increase volatility by more than positive shocks. This paper analyzes the return-volatility relationship of commodity prices and finds a positive… read more here.
Keywords: return volatility; volatility; volatility relationship; asymmetric return ... See more keywords
Asymmetric Return Connectedness Among Indian Equity Sectors: Insights from Recent Global Disruptions
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DOI: 10.1177/09721509241257111
Abstract: This article aims to study asymmetric shock transmission among India’s National Stock Exchange sectoral indexes before and amid the COVID-19 crisis and the Russian–Ukraine feud using an asymmetric time-varying parameter vector autoregressive connectedness technique. The… read more here.
Keywords: return connectedness; risk; asymmetric return; connectedness ... See more keywords