Re-examining the asymmetric predictability of conditional variances: The role of sudden changes in variance

B-Tier

Journal: Journal of Banking & Finance

Year: 2005

Volume: 29

Issue: 10

Pages: 2655-2673

Authors (2)

Ewing, Bradley T. (Texas Tech University) Malik, Farooq (not in RePEc)

Score contribution per author:

1.005 = (α=2.01 / 2 authors) × 1.0x B-tier

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