Asymmetric and crash effects in stock volatility for the S&P 100 index and its constituents
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- Jorge Caiado, 2004.
"Modelling And Forecasting The Volatility Of The Portuguese Stock Index Psi-20,"
Portuguese Journal of Management Studies,
ISEG, Universidade de Lisboa, vol. 0(1), pages 3-21.
- Caiado, Jorge, 2004. "Modelling and forecasting the volatility of the portuguese stock index PSI-20," MPRA Paper 2077, University Library of Munich, Germany.
- Taylor, Stephen J. & Yadav, Pradeep K. & Zhang, Yuanyuan, 2009. "Cross-sectional analysis of risk-neutral skewness," CFR Working Papers 09-11, University of Cologne, Centre for Financial Research (CFR).
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