Asymmetric covariance, volatility, and the effect of news

Research output: Contribution to journal › Article › Research › peer-review

Original language	English
Pages (from-to)	393 - 413
Number of pages	21
Journal	Journal of Financial Research
Volume	XXVII
Issue number	3
DOIs	https://doi.org/10.1111/j.1475-6803.2004.00097.x
Publication status	Published - 2004

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title = "Asymmetric covariance, volatility, and the effect of news",

author = "Dean, \{Warren Gregory\} and Robert Faff",

year = "2004",

doi = "10.1111/j.1475-6803.2004.00097.x",

language = "English",

volume = "XXVII",

pages = "393 -- 413",

journal = "Journal of Financial Research",

issn = "0270-2592",

publisher = "Wiley-Blackwell",

number = "3",

}

TY - JOUR

T1 - Asymmetric covariance, volatility, and the effect of news

AU - Dean, Warren Gregory

AU - Faff, Robert

PY - 2004

Y1 - 2004

UR - http://www.blackwellpublishing.com/journals/JFR

U2 - 10.1111/j.1475-6803.2004.00097.x

DO - 10.1111/j.1475-6803.2004.00097.x

M3 - Article

SN - 0270-2592

VL - XXVII

SP - 393

EP - 413

JO - Journal of Financial Research

JF - Journal of Financial Research

IS - 3

ER -