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Asymmetric and crash effects in stock volatility for the S and P 100 index and its constituents

Poon, S and Taylor, S J and Blair, B J (2002) Asymmetric and crash effects in stock volatility for the S and P 100 index and its constituents. Applied Financial Economics, 12. pp. 319-329. ISSN 0960-3107

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Item Type: Article
Journal or Publication Title: Applied Financial Economics
Subjects:
Departments: Lancaster University Management School > Accounting & Finance
ID Code: 43641
Deposited By: ep_importer_pure
Deposited On: 11 Jul 2011 19:02
Refereed?: Yes
Published?: Published
Last Modified: 26 Jul 2012 18:50
Identification Number:
URI: http://eprints.lancs.ac.uk/id/eprint/43641

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