No News is Good News: An Asymmetric Model of Changing Volatility in Stock Returns

CitationCampbell, John Y., and Ludger Hentschel. 1992. No news is good news: An asymmetric model of changing volatility in stock returns. Journal of Financial Economics 31, no. 3: 281-318.

Published Versionhttp://dx.doi.org/10.1016/0304-405X(92)90037-X

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