Get started
Keyword

leverage effect

Description: A financial-market phenomenon in which asset returns and volatility are negatively associated, often analyzed in volatility modeling.
OpenAlex ID: keywords/leverage-effect
A forecast comparison of volatility models: does anything beat a GARCH(1,1)?
2005 · Peter R. Hansen, Asger Lunde · Journal of Applied Econometrics · 1,775
PDF
Asymmetric Volatility and Risk in Equity Markets
2000 · Geert Bekaert, Guojun Wu · Review of Financial Studies · 1,470
PDF
Stock Prices and Volume
1992 · A. Ronald Gallant, Peter E. Rossi, et al. · Review of Financial Studies · 1,295
PDF
The valuation of compound options
1979 · Robert Geske · Journal of Financial Economics · 1,107
Stock Market Overreactions to Bad News in Good Times: A Rational Expectations Equilibrium Model
1999 · Pietro Veronesi · Review of Financial Studies · 996
Bayesian analysis of stochastic volatility models with fat-tails and correlated errors
2003 · Eric Jacquier, Nicholas G. Polson, et al. · Journal of Econometrics · 633
News Arrival, Jump Dynamics, and Volatility Components for Individual Stock Returns
2004 · John M. Maheu, Thomas H. McCurdy · The Journal of Finance · 561
A Permanent and Transitory Component Model of Stock Return Volatility
1993 · Gary G. J. Lee, Robert F. Engle · SSRN Electronic Journal · 501
How Valuable Is Financial Flexibility when Revenue Stops? Evidence from the COVID-19 Crisis
2020 · Rüdiger Fahlenbrach, Kevin Rageth, et al. · Review of Financial Studies · 498
PDF
Stochastic volatility with leverage: Fast and efficient likelihood inference
2006 · Yasuhiro Omori, Siddhartha Chib, et al. · Journal of Econometrics · 462
The Determinants of Asymmetric Volatility
2001 · Guojun Wu · Review of Financial Studies · 441
Leverage and Volatility Feedback Effects in High-Frequency Data
2006 · Tim Bollerslev, Julia Litvinova, et al. · Journal of Financial Econometrics · 439
Catching Up with the Joneses: Heterogeneous Preferences and the Dynamics of Asset Prices
2002 · Yeung Lewis Chan, Leonid Kogan · Journal of Political Economy · 436
Good News, Bad News, Volatility, and Betas
1995 · PHILLIP A. BRAUN, DANIEL B. NELSON, et al. · The Journal of Finance · 406
Ambiguity, Learning, and Asset Returns
2012 · Nengjiu Ju, Jianjun Miao · Econometrica · 404
PDF
Hourly volatility spillovers between international equity markets
1994 · Raul Susmel, Robert F. Engle · Journal of International Money and Finance · 389
A power GARCH examination of the gold market
2006 · Edel Tully, Brian M. Lucey · Research in International Business and Finance · 384
Metal volatility in presence of oil and interest rate shocks
2007 · Shawkat Hammoudeh, Yuan Yuan · Energy Economics · 350
Vector financial rogue waves
2011 · Zhenya Yan · Physics Letters A · 345
PDF
A new look at Cryptocurrencies
2017 · Andrew Phillip, Jennifer S.K. Chan, et al. · Economics Letters · 341
Leverage Effect in Financial Markets: The Retarded Volatility Model
2001 · Jean-Philippe Bouchaud, Andrew Matacz, et al. · Physical Review Letters · 326
PDF
Modeling volatility and correlations between emerging market stock prices and the prices of copper, oil and wheat
2014 · Perry Sadorsky · Energy Economics · 320
COVID-19’s disasters are perilous than Global Financial Crisis: A rumor or fact?
2020 · Khurram Shehzad, Liu Xiaoxing, et al. · Finance research letters · 311
No-arbitrage semi-martingale restrictions for continuous-time volatility models subject to leverage effects, jumps and i.i.d. noise: Theory and testable distributional implications
2006 · Torben G. Andersen, Tim Bollerslev, et al. · Journal of Econometrics · 301
A Forecast Comparison of Volatility Models: Does Anything Beat a Garch(1,1)?
2001 · Peter Reinhard Hansen, Asger Lunde · SSRN Electronic Journal · 297
Works count: 4,513
Citation count: 54,260
Year
Topic
Type