Chadwick, Meltem; Bastan, Meltem - In: Central Bank Review (CBR) 17 (2017) 2, pp. 55-76
Asymmetric volatility is a widely encountered concept particularly in financial series. It refers to the case that "bad news" generates more volatility than "good news" of equal magnitude. In an inflationary environment "bad news" is disclosed as increasing inflation that is expected to generate...