Dufour, Jean-Marie; Garcia, René; Taamouti, Abderrahim - In: Journal of Financial Econometrics 10 (2009) 1, pp. 124-163
We provide evidence on two alternative mechanisms of interaction between returns and volatilities: the leverage ef fect and the volatility feedback effect. We stress the importance of distinguishing between realized volatility and implied volatility and find that implied volatilities are...
