Add to ORKGWe define a simple and tractable method for adding the Leverage effect in general volatility predictions. As an application, we compare volatility predictions with and without Leverage on the SP500 Index during the period 2002-2010.ou
Asymmetric equity volatility is crucial for many financial applications and has in the last few deca...
This paper investigates three formulations of the leverage effect in a stochastic volatility model w...
We first propose a reduced-form model in discrete time for S&P 500 volatility showing that the forec...
This paper explores the link between the leverage of the US financial sector, of households and of n...
We provide empirical evidence of volatility forecasting in relation to asymmetries present in the dy...
This paper explores the link between the leverage of the US financial sector, of households and non-...
Multi-factor stochastic volatility models of the financial time series can have important applicatio...
This paper attempts to contribute to existing knowledge through an explicit threefold purpose. Initi...
Master's thesis in FinanceEquity indices are known to exhibit an asymmetric leverage effect, meaning...
Published in Journal of Econometrics, Volume 127, Issue 2, August 2005, Pages 165-178. DOI: 10.1016/...
We consider two new approaches to nonparametric estimation of the leverage effect. The first approac...
The relative statistical and economic signi\u85cance of the leverage and feedback e¤ects on \u85rm l...
The effect of leverage on risk was examined. A method of measuring and accounting for the effect of ...
The effect of leverage on risk was examined. A method of measuring and accounting for the effect of ...
We appreciate comments from UCLA seminar participants. As this research is preliminary please do not...
Asymmetric equity volatility is crucial for many financial applications and has in the last few deca...
This paper investigates three formulations of the leverage effect in a stochastic volatility model w...
We first propose a reduced-form model in discrete time for S&P 500 volatility showing that the forec...
This paper explores the link between the leverage of the US financial sector, of households and of n...
We provide empirical evidence of volatility forecasting in relation to asymmetries present in the dy...
This paper explores the link between the leverage of the US financial sector, of households and non-...
Multi-factor stochastic volatility models of the financial time series can have important applicatio...
This paper attempts to contribute to existing knowledge through an explicit threefold purpose. Initi...
Master's thesis in FinanceEquity indices are known to exhibit an asymmetric leverage effect, meaning...
Published in Journal of Econometrics, Volume 127, Issue 2, August 2005, Pages 165-178. DOI: 10.1016/...
We consider two new approaches to nonparametric estimation of the leverage effect. The first approac...
The relative statistical and economic signi\u85cance of the leverage and feedback e¤ects on \u85rm l...
The effect of leverage on risk was examined. A method of measuring and accounting for the effect of ...
The effect of leverage on risk was examined. A method of measuring and accounting for the effect of ...
We appreciate comments from UCLA seminar participants. As this research is preliminary please do not...
Asymmetric equity volatility is crucial for many financial applications and has in the last few deca...
This paper investigates three formulations of the leverage effect in a stochastic volatility model w...
We first propose a reduced-form model in discrete time for S&P 500 volatility showing that the forec...