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 …

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 …

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

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. …