on the leverage and size effects. The model is a generalization of the exponential GARCH (EGARCH) model of Nelson (1991 … model, the threshold effects indicator function of Glosten, Jagannathan and Runkle (1992), and the negative correlation … leverage and size effects are significant, supporting the general model. For TOPIX and USD/AUD returns, the size effect is …

on the leverage and size effects. The model is a generalization of the exponential GARCH (EGARCH) model of Nelson (1991 … model, the threshold effects indicator function of Glosten, Jagannathan and Runkle (1992), and the negative correlation … leverage and size effects are significant, supporting the general model. For TOPIX and USD/AUD returns, the size effect is …

We estimate stochastic volatility leverage models for a panel of stock returns for 24 S&P 500 firms from six industries … of the likelihood and related test-statistics. We find significant leverage effects for all 24 stocks. These effects are …

more likely to suffer from asymmetry behavior of volatility. We also confirm that firm leverage is linked to this asymmetry …

In the class of stochastic volatility (SV) models, leverage effects are typically specified through the direct … correlation between the innovations in both returns and volatility, resulting in the dynamic leverage (DL) model. Recently, two … asymmetric SV models based on threshold effects have been proposed in the literature. As such models consider only the sign of …

more likely to suffer from asymmetry behavior of volatility. We also confirm that firm leverage is linked to this asymmetry …

volatilities and a stochastic volatility model with leverage effects and jumps for asset returns. …