One of the most popular univariate asymmetric conditional volatility models is the exponential GARCH (or EGARCH …) specification. In addition to asymmetry, which captures the different effects on conditional volatility of positive and negative … subsequent shocks to volatility. However, the statistical properties of the (quasi-) maximum likelihood estimator of the EGARCH …

and lowering stock return volatility over the CEO's tenure. We formally model this idea, and evaluate its implications …. Consistent with this model, stock return volatility and the absolute value of stock price reactions to news, decline with CEO … substantially to return volatility, accounting for approximately 25% of total stock return volatility at the time of CEO turnover …

of risk, the interest rate, the stock market volatility, the equity premium and the moments of the consumption growth …. The ability to explain the dividend strips puzzle, the term structure of interest rates and the predictive behavior of the …