umu.sePublications
Change search
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf
Long vs. short term asymmetry in volatility and the term structure of risk
Umeå University, Faculty of Social Sciences, Umeå School of Business and Economics (USBE), Economics.
2017 (English)In: Finance Research Letters, ISSN 1544-6123, E-ISSN 1544-6131, Vol. 23, 202-209 p.Article in journal (Refereed) Published
Abstract [en]

This short paper introduces the distinction between short and long term asymmetric effects in volatilities. With short term asymmetry we refer to the conventional one, i.e. the asymmetric response of current volatility to the most recent return shocks. In addition, we argue that there may be asymmetries with respect to the way the effect of past return shocks propagate over time. We refer to this as long term asymmetry and propose a model that enables the study of the potential occurrence of such a feature. In an empirical application using stock market index data we find evidence of the joint presence of short and long term asymmetric effects and demonstrate important implications for risk predictions. In particular, positive return shocks is ascribed substantial significance for long term risk prediction.

Place, publisher, year, edition, pages
San Diego: Academic Press, 2017. Vol. 23, 202-209 p.
Keyword [en]
Financial econometrics, GARCH, Memory, Risk prediction, Skewness
National Category
Economics
Identifiers
URN: urn:nbn:se:umu:diva-137370DOI: 10.1016/j.frl.2017.06.011ISI: 000415029900026OAI: oai:DiVA.org:umu-137370DiVA: diva2:1118472
Available from: 2017-06-30 Created: 2017-06-30 Last updated: 2017-12-04Bibliographically approved

Open Access in DiVA

No full text

Other links

Publisher's full text

Search in DiVA

By author/editor
Lönnbark, Carl
By organisation
Economics
In the same journal
Finance Research Letters
Economics

Search outside of DiVA

GoogleGoogle Scholar

doi
urn-nbn

Altmetric score

doi
urn-nbn
Total: 44 hits
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf