Asymmetric volatility of the Thai stock market: evidence from high-frequency data
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More about this item
KeywordsAsymmetric volatility; feedback effect; leverage effect; emerging stock market;
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-FMK-2015-10-17 (Financial Markets)
- NEP-RMG-2015-10-17 (Risk Management)
- NEP-SEA-2015-10-17 (South East Asia)
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