effects of equal magnitude, and leverage, which refers to the negative correlation between the returns shocks and subsequent …

effects of equal magnitude, and leverage, which refers to the negative correlation between the returns shocks and subsequent …

stochastic volatility model contains non-Gaussian return innovations and leverage effects. The empirical results reveal that …

on conditional volatility of positive and negative effects of equal magnitude, and leverage, which is the negative … between asymmetry and leverage, as well as which asymmetric models are purported to be able to capture leverage, the purpose … appropriate regularity conditions; and (2) to show that leverage is not possible in these univariate conditional volatility models. …

volatility smirk, both for time series and cross sections of companies. These results may help to disentangle the leverage effect …

effects of equal magnitude, EGARCH can also accommodate leverage, which is the negative correlation between returns shocks and …

assets is a main determinantof corporate leverage. To establish this link, our analysis uses an instrumental variables … driver of leverage for firms that are likely to face creditfrictions (small, unrated firms). Our tests also show that asset …