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Modelling asymmetric volatility dynamics by multivariate bl-garch models 

Storti, Giuseppe (2006)
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 ...
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Asymmetry in the permanent price impact of block purchases and sales: theory and empirical evidence 

Frino, Alex; Mollica, Vito; Romano, Maria Grazia (2012)
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 ...
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AutoreFrino, Alex (1)Mollica, Vito (1)Romano, Maria Grazia (1)Storti, Giuseppe (1)Soggetto
Asymmetry (2)
Block trade (1)Conditional correlation (1)EM algorithm (1)Futures hedging (1)Market impact (1)Multivariate GARCH (1)Robust conditional moment tests (1)... View MoreDate Issued2006 (1)2012 (1)Has File(s)Yes (2)
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