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

effects on conditional volatility of positive and negative effects of equal magnitude, and possibly also leverage, which is …) showed that asymmetry was possible for GJR, but not leverage. McAleer and Hafner showed that leverage was not possible for … is shown that, in practice, EGARCH always displays asymmetry, though not leverage. …

shocks, as well as symmetric, asymmetric and leverage effects. Three different Heterogeneous AutoRegressive (HAR) models, HAR …. Somewhat unusually, leverage effects are observed in EGARCH for Medical-type tourists, which shows a negative correlation … asymmetric impacts on volatility show that negative shocks have larger effects than do positive shocks. The leverage effect in …

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

effects on conditional volatility of positive and negative effects of equal magnitude, and purportedly in capturing leverage … confusion in the literature between asymmetry and leverage, as well as which asymmetric models are purported to be able to … capture leverage, the purpose of the paper is three-fold, namely, (1) to derive the GJR model from a random coefficient …

effects of equal magnitude, EGARCH can also accommodate leverage, which is the negative correlation between returns shocks and … derivatives, and hence does not permit (quasi-) maximum likelihood estimation. It is shown in this paper for the non-leverage case …

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

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. …

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