Haas, Markus; Mittnik, Stefan; Paolella, Mark S. - Center for Financial Studies - 2008
Keywords: Conditional Volatility, Finite Normal Mixtures, Multivariate GARCH, Leverage
Effect
1 Introduction
Dynamic … for the leverage effect in applications to stock market
returns, i.e., the strong negative correlation between equity … returns and future volatility. In the
univariate GARCH literature, various specifications of the leverage effect exist; see, e …