Asymmetric Volatility and Volatility Spillovers

James Ming Chen
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James Ming Chen: Michigan State University

Chapter Chapter 9 in Postmodern Portfolio Theory, 2016, pp 173-187 from Palgrave Macmillan

Abstract: Abstract Why indeed is volatility asymmetrical? Wholly apart from their epochal methodological contributions, providing an answer to this question may be the greatest theoretical advance traceable to time series models. This chapter will explore three distinct accounts of asymmetrical volatility. Moreover, time series modeling can now detect volatility spillovers between markets. Even more remarkably, new methods can identify which markets transmit information and which ones, in effect, receive that information in the form of increased volatility. After noting those developments, this chapter will conclude with a quick survey of findings regarding asymmetrical volatility and volatility spillovers in developed and emerging markets.

Keywords: Stock Return; Option Price; Supra Note; Capital Structure; Equity Market (search for similar items in EconPapers)
Date: 2016
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Persistent link: https://EconPapers.repec.org/RePEc:pal:qpochp:978-1-137-54464-3_9

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DOI: 10.1057/978-1-137-54464-3_9

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