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The impact of financial crises on the risk-return tradeoff and the leverage effect
Christensen, Bent Jesper; Nielsen, Morten Ørregaard; … - 2012
stock return data, which includes both features and allows the co-existence of long memory in volatility and short memory in … returns. We extend this model to allow the financial parameters governing the volatility-in-mean effect and the leverage …
Persistent link: https://www.econbiz.de/10009536502
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Broker-dealer leverage volatility and the US stock prices
Istiak, Khandokar - In: Studies in economics and finance 39 (2022) 1, pp. 1-19
Persistent link: https://www.econbiz.de/10012798490
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Volatility clustering, leverage, size, or contagion effects : the fluctuations of Asian real estate investment trust returns
Tsai, I-Chun - In: Journal of Asian economics 27 (2013), pp. 18-32
Persistent link: https://www.econbiz.de/10010190282
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The performance of dividend ETFs : the study of the spillover and leverage effects
Chen, Jo-hui; Dang Trung Kien - In: Theoretical economics letters 9 (2019) 3, pp. 499-510
Persistent link: https://www.econbiz.de/10012395468
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Leverage and asymmetric volatility : the firm-level evidence
Ericsson, Jan; Huang, Xiao; Mazzotta, Stefano - In: Journal of empirical finance 38 (2016), pp. 1-21
Persistent link: https://www.econbiz.de/10011663127
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Bank nifty : empirical modeling of returns vis-à-vis Leverage and volatility
Tandom, Neelam; Tandom, Deepak; Saxena, Navneet - In: The IUP journal of bank management : IJBM 19 (2020) 1, pp. 71-86
Persistent link: https://www.econbiz.de/10012295879
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The volatility of a firm's assets and the leverage effect
Choi, Jaewon; Richardson, Matthew - In: Journal of financial economics 121 (2016) 2, pp. 254-277
Persistent link: https://www.econbiz.de/10011590720
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Leverage versus volatility : evidence from the capital structure of European firms
Alaoui, Abdelkader O. el; Obiyathulla Ismath Bacha; … - In: Economic modelling 62 (2017), pp. 145-160
Persistent link: https://www.econbiz.de/10011813362
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Financial intermediary leverage spillovers
Serletis, Apostolos; Istiak, Khandokar - In: Research in international business and finance 39 (2017), pp. 1000-1007
Persistent link: https://www.econbiz.de/10011912429
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Volatility clustering and persistence of volatility in national stock exchange market of India
Das, Subhrabaran; Ali, Intaz - In: Artha vijñāna : journal of the Gokhale Institute of … 60 (2018) 3, pp. 295-307
Persistent link: https://www.econbiz.de/10011960856