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Complex relationships among firm risk, asymmetric volatility, volatility skew, and the leverage effect.
Chih-Tung Hsiao
Dong-Shang Chang
Shu-Ming Liu
Published in:
Complex. (2016)
Keyphrases
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complex relationships
chinese stock market
panel data
stock returns
financial crisis
stock price
stock market
stock index futures
exchange rate
garch model
financial markets
risk management
probability distribution
model selection
investment strategies