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Keywords: Asymmetric effect
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Journal Articles
Economic uncertainty and stock market asymmetric volatility: analysis based on the asymmetric GARCH-MIDAS model
Available to Purchase
International Journal of Emerging Markets (2025) 20 (8): 3488–3511.
Published: 26 February 2024
... volatilities of gold and palladium. Raza et al. (2023) find that rising GEPU escalates the volatility of gold, palladium, platinum and silver prices. © Emerald Publishing Limited 2024 Emerald Publishing Limited Licensed re-use rights only Economic uncertainty Asymmetric effect Long...
Journal Articles
Risk-return tradeoff in Chinese stock markets: some recent evidence
Available to Purchase
International Journal of Emerging Markets (2015) 10 (3): 448–473.
Published: 20 July 2015
... models, including standard GARCH-M, EGARCH-M and GJR-GARCH-M. Additionally, stock returns of Shanghai exhibit a more significant asymmetric effect than that of Shenzhen, i.e., positive and negative innovations of the stock returns have different impact on the conditional volatility. However...
