Asymmetric Covariance, Volatility, and the Effect of News

C-Tier

Journal: Journal of Financial Research

Year: 2004

Volume: 27

Issue: 3

Pages: 393-413

Authors (2)

Warren G. Dean (not in RePEc) Robert W. Faff (University of Queensland)

Score contribution per author:

0.505 = (α=2.02 / 2 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count