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~isPartOf:"Bloomberg Portfolio Research Paper"
~person:"Carr, Peter"
~person:"Gikhman, Ilya I."
~person:"Waltman, Waltman, L."
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Leverage Effect, Volatility Feedback, and Self-Exciting Market Disruptions
Carr, Peter
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2017
index
options
. First, equity volatility increases proportionally with the level of financial leverage, the variation of …-section of equity index
options
in identifying the economic channels underlying the variations of the equity index and its …
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