The paper investigates the impact of jumps in forecasting co-volatility, accommodating leverage effects. We modify the …

asymmetry and leverage. In this paper, we first show the relationship among conditional, stochastic, integrated and realized … in order to understand the differences and similarities in the definitions of asymmetry and leverage. We extend the new …

Accounting, using quantifiable Research Assessment Measures (RAMs) that are based on alternative transformations of citations. It … information contained in the well known RAMs for both the Sciences and Social Sciences, as well as in Finance and Accounting. …

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 …