- 1 Introduction
- 2 Measures of volatility and empirical methods
- 2.1 Measures of volatility
- 2.2 Basic empirical specification and testable hypotheses
- 2.3 Cross-sectional tests
- 2.4 Time-series tests
- 3 Data and variables
- 4 Cross-sectional tests
- 5 Time-series tests
- 6 Robustness checks
- 6.1 Controlling for expected changes in volatility
- 6.2 Nonlinearities in the return - Δ V O L relation
- 6.3 Alternative specifications
- 6.4 Leverage hypothesis
- 7 Conclusions
- References
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