Is the "Leverage Effect" a Leverage Effect? [PDF]
SSRN Electronic Journal, 2000 The "leverage effect" refers to the well-established relationship between stock returns and both implied and realized volatility: volatility increases when the stock price falls. A standard explanation ties the phenomenon to the effect a change in market
Figlewski, Stephen, Wang, Xiaozu
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Leverage effect in energy futures [PDF]
Energy Economics, 2014 We propose a comprehensive treatment of the leverage effect, i.e. the relationship between returns and volatility of a specific asset, focusing on energy commodities futures, namely Brent and WTI crude oils, natural gas and heating oil.
Kristoufek, Ladislav
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Stochastic volatility and leverage effect [PDF]
, 2002 We prove that a wide class of correlated stochastic volatility models exactly measure an empirical fact in which past returns are anticorrelated with future volatilities: the so-called ``leverage effect''.
A. Dragulescu +20 more
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The Leverage Effect of Bank Disclosures [PDF]
SSRN Electronic Journal, 2021 The general view underlying bank regulation is that bank disclosures provide market discipline and reduce banks’ risk-taking incentives. We show that bank disclosures can increase bank leverage and bank risk. The reason stems from the interaction between insured and uninsured debt.
Philipp Koenig +2 more
openalex +3 more sources
Can leverage effect coexist with value effect?
IIMB Management Review, 2020 In this paper, we evaluate the cross sectional relationship between firm characteristics, financial leverage, and stock returns for the Indian stock market.
Moinak Maiti, A. Balakrishnan
doaj +5 more sources
An analysis of the leverage effect of "Internet +" on the economic spillover of sports industry. [PDF]
PLoS One, 2023 Yi C +5 more
europepmc +2 more sources
Jump test and Estimate the Size and Probability of Jump in the Stock Market Using Stochastic Volatility Models [PDF]
مدلسازی اقتصادسنجی, 2022 New findings show that volatility models with jump component are more successful than without jumping models in modeling stylized facts about the stock market.
Alireza Najjarpour, Mojtaba Rostami
doaj +1 more source
Testing for the Presence of the Leverage Effect without Estimation
Mathematics, 2022 Problem: The leverage effect plays an important role in finance. However, the statistical test for the presence of the leverage effect is still lacking study.
Zhi Liu
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Modeling Crude Oil Price Dynamics: Investigation of Jump and Volatility Using Stochastic Volatility Models (Case study: WTI crude oil prices in 2020 and 2021) [PDF]
Pizhūhishnāmah-i Iqtiṣād-i Inirzhī-i Īrān, 2020 Due to the strategic role of volatility and instability of crude oil prices and their effects on all countries of the world, different methods of modeling and forecasting are necessary.
mojtaba rostami +1 more
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Multivariate Asymmetric GARCH Model with Dynamic Correlation Matrix
Финансы: теория и практика, 2022 This study examines the problem of modeling the joint dynamics of conditional volatility of several financial assets under an asymmetric relationship between volatility and shocks in returns (leverage effect).
Ju. S. Trifonov, B. S. Potanin
doaj +1 more source