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Cited by 13 publications
(10 citation statements)
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“…To investigate the link between stock prices or stock returns in financial markets, two volatility models can be built: with normally distributed errors and with skewed errors (Albu et al 2015). This approach proved the existence of asymmetry phenomenon in market volatility, with approximately the same features in the case of Poland, Czech Republic and Hungary and different ones in the case of Romania.…”
Section: Literature Reviewmentioning
confidence: 99%
See 1 more Smart Citation
“…To investigate the link between stock prices or stock returns in financial markets, two volatility models can be built: with normally distributed errors and with skewed errors (Albu et al 2015). This approach proved the existence of asymmetry phenomenon in market volatility, with approximately the same features in the case of Poland, Czech Republic and Hungary and different ones in the case of Romania.…”
Section: Literature Reviewmentioning
confidence: 99%
“…This article relates to a number of studies (Lang 2011;Ivanov et al 2012;Chan et al 2013;Albu et al 2015) that deal with financial liquidity and volatility specificities in emerging markets. We focus on the Eastern European area because we suggest that it occupies a very important place in modern globalization processes (Allen et al 2010;Vidovic 2011;Ivanov et al 2012).…”
Section: Literature Reviewmentioning
confidence: 99%
“…Although there is a long history of investigation of this phenomenon, "asymmetric volatility" and the associated term "asymmetry in volatility" has also been under consideration in the most recent literature. Albu, Lupu and Călin (2015) defined asymmetric volatility, as a stylized fact that manifests itself when volatility is higher in market downswings than in market upturns. It relies on the empirical evidence that there is a negative correlation between returns and innovations in expected volatility (Dennis, Mayhew, & Stivers, 2006).…”
Section: Key Concepts and Definitionsmentioning
confidence: 99%
“…The research on asymmetric responses in the stock market includes Black (1976), Bollerslev (1986), and Albu, Lupu, and Călin (2015). And the studies done in Korea include Gam Hyeonggyu, Shin Yongjae, and Park Hyeongjoong (2007).…”
Section: Introductionmentioning
confidence: 99%
“…As a result, the analysis revealed that there was a negative relationship between volatility and return on financial assets. [3] Gam, Shin, and Park (2007) analyzed the effects of stock price volatility according to the type of information using the Korean stock index by the industry for 16 years from January 2, 1990 to December 31, 2005 using GJR model and EGARCH model. As a result, it was analyzed that the unexpected negative (-) returns in the stock market for construction, finance, and manufacturing increased volatility over unexpected positive (+) returns.…”
Section: Introductionmentioning
confidence: 99%