{"id":"https://openalex.org/W2139291143","doi":"https://doi.org/10.1080/096031098333122","title":"Modelling the asymmetry of stock market volatility","display_name":"Modelling the asymmetry of stock market volatility","publication_year":1998,"publication_date":"1998-04-01","ids":{"openalex":"https://openalex.org/W2139291143","doi":"https://doi.org/10.1080/096031098333122","mag":"2139291143"},"language":"en","primary_location":{"id":"doi:10.1080/096031098333122","doi":"https://doi.org/10.1080/096031098333122","is_oa":false,"landing_page_url":"https://doi.org/10.1080/096031098333122","pdf_url":null,"source":{"id":"https://openalex.org/S35128040","display_name":"Applied Financial Economics","issn_l":"0960-3107","issn":["0960-3107","1466-4305"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-b","anvur-scientific","cwts-core","fnege-4","jufo-1"],"host_organization":"https://openalex.org/P4310321043","host_organization_name":"Chapman and Hall London","host_organization_lineage":["https://openalex.org/P4310321043","https://openalex.org/P4310320584"],"host_organization_lineage_names":["Chapman and Hall London","CRC Press"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Applied Financial Economics","raw_type":"journal-article"},"volume":null,"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5103454305","display_name":"\u00d3lan T. Henry","orcid":null,"observed_orcids":[]},"institutions":[],"countries":[],"is_corresponding":true,"raw_author_name":"Olan Henry","raw_affiliation_strings":[],"raw_orcid":null,"affiliations":[]}],"institutions":[],"countries_distinct_count":0,"institutions_distinct_count":0,"corresponding_author_ids":["https://openalex.org/A5103454305"],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":2.9628,"has_fulltext":false,"cited_by_count":59,"citation_normalized_percentile":{"value":0.93091802,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":88,"max":98},"biblio":{"volume":"8","issue":"2","first_page":"145","last_page":"153"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9990000128746033,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9990000128746033,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11059","display_name":"Market Dynamics and Volatility","score":0.0003000000142492354,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.0003000000142492354,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/stock-market-volatility","display_name":"stock market volatility","score":0.8970000147819519},{"id":"https://openalex.org/keywords/volatility-asymmetry","display_name":"asymmetric volatility","score":0.9670000076293945},{"id":"https://openalex.org/keywords/negative-shocks","display_name":"negative shocks","score":0.5509999990463257},{"id":"https://openalex.org/keywords/wald-test","display_name":"Wald test","score":0.625},{"id":"https://openalex.org/keywords/hong-kong-stock-exchange","display_name":"Hong Kong Stock Exchange","score":0.8199999928474426},{"id":"https://openalex.org/keywords/daily-stock-returns","display_name":"daily stock returns","score":0.5410000085830688}],"concepts":[{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.7469810843467712},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.6569082736968994},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.6520172357559204},{"id":"https://openalex.org/C203274628","wikidata":"https://www.wikidata.org/wiki/Q748664","display_name":"Wald test","level":3,"score":0.5824098587036133},{"id":"https://openalex.org/C89128539","wikidata":"https://www.wikidata.org/wiki/Q1949963","display_name":"Statistic","level":2,"score":0.5336253046989441},{"id":"https://openalex.org/C117996083","wikidata":"https://www.wikidata.org/wiki/Q5473296","display_name":"Forward volatility","level":4,"score":0.47497624158859253},{"id":"https://openalex.org/C200870193","wikidata":"https://www.wikidata.org/wiki/Q11691","display_name":"Stock exchange","level":2,"score":0.4664589464664459},{"id":"https://openalex.org/C2780299701","wikidata":"https://www.wikidata.org/wiki/Q475000","display_name":"Stock market","level":3,"score":0.4516795873641968},{"id":"https://openalex.org/C204036174","wikidata":"https://www.wikidata.org/wiki/Q909380","display_name":"Stock (firearms)","level":2,"score":0.45121386647224426},{"id":"https://openalex.org/C165603445","wikidata":"https://www.wikidata.org/wiki/Q7915766","display_name":"Variance swap","level":5,"score":0.4111118018627167},{"id":"https://openalex.org/C85393063","wikidata":"https://www.wikidata.org/wiki/Q596307","display_name":"Stochastic volatility","level":3,"score":0.3272203207015991},{"id":"https://openalex.org/C87007009","wikidata":"https://www.wikidata.org/wiki/Q210832","display_name":"Statistical hypothesis testing","level":2,"score":0.1941637396812439},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.18943747878074646},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.17880377173423767},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.08585512638092041},{"id":"https://openalex.org/C86803240","wikidata":"https://www.wikidata.org/wiki/Q420","display_name":"Biology","level":0,"score":0.0},{"id":"https://openalex.org/C2780762169","wikidata":"https://www.wikidata.org/wiki/Q5905368","display_name":"Horse","level":2,"score":0.0},{"id":"https://openalex.org/C151730666","wikidata":"https://www.wikidata.org/wiki/Q7205","display_name":"Paleontology","level":1,"score":0.0},{"id":"https://openalex.org/C127413603","wikidata":"https://www.wikidata.org/wiki/Q11023","display_name":"Engineering","level":0,"score":0.0},{"id":"https://openalex.org/C78519656","wikidata":"https://www.wikidata.org/wiki/Q101333","display_name":"Mechanical engineering","level":1,"score":0.0}],"mesh":[],"locations_count":3,"locations":[{"id":"doi:10.1080/096031098333122","doi":"https://doi.org/10.1080/096031098333122","is_oa":false,"landing_page_url":"https://doi.org/10.1080/096031098333122","pdf_url":null,"source":{"id":"https://openalex.org/S35128040","display_name":"Applied Financial Economics","issn_l":"0960-3107","issn":["0960-3107","1466-4305"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-b","anvur-scientific","cwts-core","fnege-4","jufo-1"],"host_organization":"https://openalex.org/P4310321043","host_organization_name":"Chapman and Hall London","host_organization_lineage":["https://openalex.org/P4310321043","https://openalex.org/P4310320584"],"host_organization_lineage_names":["Chapman and Hall London","CRC Press"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Applied Financial Economics","raw_type":"journal-article"},{"id":"pmh:oai:CiteSeerX.psu:10.1.1.42.3110","doi":null,"is_oa":false,"landing_page_url":"http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.42.3110","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"http://journals.routledge.com/af/pdfpapers/af080206.pdf","raw_type":"text"},{"id":"pmh:oai:RePEc:taf:apfiec:v:8:y:1998:i:2:p:145-153","doi":null,"is_oa":false,"landing_page_url":"http://www.tandfonline.com/doi/abs/10.1080/096031098333122","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"article"}],"best_oa_location":null,"sustainable_development_goals":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":31,"referenced_works":["https://openalex.org/W102087752","https://openalex.org/W953353200","https://openalex.org/W1544729927","https://openalex.org/W1566886016","https://openalex.org/W1571342035","https://openalex.org/W1576326745","https://openalex.org/W1965635191","https://openalex.org/W1977395680","https://openalex.org/W1979575715","https://openalex.org/W1980541697","https://openalex.org/W1986395918","https://openalex.org/W1999814123","https://openalex.org/W1999996900","https://openalex.org/W2013109882","https://openalex.org/W2023240121","https://openalex.org/W2026580305","https://openalex.org/W2054477007","https://openalex.org/W2061160212","https://openalex.org/W2077115352","https://openalex.org/W2086624954","https://openalex.org/W2095364399","https://openalex.org/W2097580026","https://openalex.org/W2108818539","https://openalex.org/W2152141296","https://openalex.org/W2170120409","https://openalex.org/W2891277411","https://openalex.org/W2891601610","https://openalex.org/W3121352447","https://openalex.org/W3121766225","https://openalex.org/W3123118666","https://openalex.org/W4250075883"],"related_works":["https://openalex.org/W2053627224","https://openalex.org/W7100697873","https://openalex.org/W2044762510","https://openalex.org/W2268205280","https://openalex.org/W4408739543","https://openalex.org/W2091715562","https://openalex.org/W2097916175","https://openalex.org/W2138048780","https://openalex.org/W2373548021","https://openalex.org/W4388111805"],"abstract_inverted_index":{"Recent":[0],"studies":[1],"suggest":[2],"that":[3],"a":[4,15,89,92],"negative":[5],"shock":[6,17,90],"to":[7,32,51,82,94],"stock":[8,37],"prices":[9],"will":[10],"generate":[11],"more":[12],"volatility":[13,70],"than":[14],"positive":[16],"of":[18,36,64,88,99],"equal":[19],"magnitude.":[20],"This":[21],"paper":[22],"uses":[23],"daily":[24],"data":[25,102],"from":[26],"the":[27,34,52,57,65,80,84,100],"Hong":[28],"Kong":[29],"Stock":[30],"Exchange":[31],"illustrate":[33],"nature":[35],"market":[38],"volatility.":[39],"Regression-based":[40],"tests":[41,78],"for":[42,79],"integration":[43],"in":[44,75],"variance":[45],"are":[46],"applied,":[47],"providing":[48],"contrasting":[49],"results":[50],"usual":[53],"test":[54],"based":[55],"on":[56],"Wald":[58],"statistic.":[59],"A":[60],"partially":[61],"non-parametric":[62],"model":[63],"relationship":[66],"between":[67],"news":[68],"and":[69,73,86],"is":[71],"estimated":[72],"used":[74],"conjunction":[76],"with":[77],"sensitivity":[81],"both":[83],"size":[85],"sign":[87],"as":[91],"metric":[93],"judge":[95],"various":[96],"candidate":[97],"characterizations":[98],"underlying":[101],"generating":[103],"process.":[104]},"counts_by_year":[{"year":2026,"cited_by_count":1},{"year":2025,"cited_by_count":1},{"year":2024,"cited_by_count":1},{"year":2023,"cited_by_count":3},{"year":2022,"cited_by_count":4},{"year":2021,"cited_by_count":1},{"year":2020,"cited_by_count":2},{"year":2019,"cited_by_count":1},{"year":2018,"cited_by_count":1},{"year":2016,"cited_by_count":2},{"year":2015,"cited_by_count":1},{"year":2014,"cited_by_count":2},{"year":2013,"cited_by_count":1},{"year":2012,"cited_by_count":5}],"updated_date":"2026-10-14T16:39:01.820549","created_date":"2016-06-24T00:00:00"}
