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Asymmetry in the permanent price impact of block purchases and sales: theory and empirical evidence
This paper extends previous research which has examined the market impact of large transactions in bull and bear markets by examining the information effects of trades. Previous research has demonstrated that the information ...
Modelling asymmetric volatility dynamics by multivariate bl-garch models
The class of Multivariate BiLinear GARCH (MBL-GARCH) models is proposed and its statistical properties are investigated. The model can be regarded as a generalization to a multivariate setting of the univariate BLGARCH model ...