//--> //--> //--> //-->
Toggle navigation
Logout
Change account settings
EN
DE
ES
FR
A-Z
Beta
About EconBiz
News
Thesaurus (STW)
Research Skills
Help
EN
DE
ES
FR
My account
Logout
Change account settings
Login
Publications
Events
Your search terms
Search
Retain my current filters
~subject:"Theorie"
~subject:"leverage effect"
~type:"book"
Search options
All Fields
Title
Exact title
Subject
Author
Institution
ISBN/ISSN
Published in...
Publisher
Open Access only
Advanced
Search history
My EconBiz
Favorites
Loans
Reservations
Fines
You are here:
Home
Search: subject:"Leverage Effect"
Narrow search
Delete all filters
| 3 applied filters
Year of publication
From:
To:
Subject
All
Theorie
leverage effect
Leverage effect
32
Leverage Effect
28
Volatilität
22
Volatility
20
Theory
17
GARCH
13
Capital income
12
Kapitaleinkommen
12
realized volatility
11
stochastic volatility
11
ARCH-Modell
10
Schätzung
10
volatility feedback effect
10
Estimation
9
Realized volatility
9
ARCH model
7
Börsenkurs
7
Capital structure
7
Kapitalstruktur
7
Markov chain Monte Carlo
7
Stochastischer Prozess
7
Zeitreihenanalyse
7
Conditional Volatility
6
EGARCH
6
Multivariate GARCH
6
Time series analysis
6
high-frequency data
6
smooth transition
6
variance risk premium
6
Gaussian Process
5
Share price
5
Stochastic process
5
Stochastic volatility
5
finance
5
jumps
5
volatility forecasting
5
ARCH
4
Bayes factors
4
more ...
less ...
Online availability
All
Free
66
Undetermined
3
Type of publication
All
Book / Working Paper
Article
129
Other
2
Type of publication (narrower categories)
All
Working Paper
31
Graue Literatur
22
Non-commercial literature
22
Arbeitspapier
20
Hochschulschrift
2
Aufsatzsammlung
1
Collection of articles written by one author
1
Sammlung
1
Thesis
1
more ...
less ...
Language
All
English
48
Undetermined
31
French
3
Author
All
Bos, Charles S.
4
Koopman, Siem Jan
4
Martens, Martin
4
Dijk, Dick van
3
Du, Xiaodong
3
Jacod, Jean
3
Jamali, Ibrahim
3
Janus, Pawel
3
Li, Yingying
3
Lilla, Francesca
3
Linton, Oliver
3
Marsh, Terry A.
3
Mykland, Per A.
3
Podolskij, Mark
3
Pooter, Michiel de
3
Taamouti, Abderrahim
3
Veraart, Almut E. D.
3
Vetter, Mathias
3
Wagner, Niklas
3
Yu, Cindy L.
3
Alexandra, Carol
2
Bollerslev, Tim
2
Bouezmarni, Taoufik
2
Chorro, Christophe
2
Gospodinov, Nikolay
2
Guegan, Dominique
2
Hafner, Christian M.
2
Hayes, Dermot
2
Herwartz, Helmut
2
Ielpo, Florian
2
Jensen, Mark J.
2
Koubouros, Michail S.
2
Lalaharison, Hanjarivo
2
Lazar, Emese
2
Löffler, Andreas
2
Maheu, John M.
2
Nippel, Peter
2
Platen, Eckhard
2
Sizova, Natalia
2
Tauchen, George
2
more ...
less ...
Institution
All
School of Economics and Management, University of Aarhus
5
Centre Interuniversitaire de Recherche en Analyse des Organisations (CIRANO)
4
EconWPA
3
Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
3
Center for Operations Research and Econometrics (CORE), École des Sciences Économiques de Louvain
2
Centre Interuniversitaire sur le Risque, les Politiques Économiques et l'Emploi (CIRPÉE)
2
Finance Discipline Group, Business School
2
Henley Business School, University of Reading
2
Tinbergen Institute
2
Tinbergen Instituut
2
UNIVERSIDAD ICESI
2
Agricultural and Applied Economics Association - AAEA
1
Center for Agricultural and Rural Development (CARD), Iowa State University
1
Centre d'Économie de la Sorbonne, Université Paris 1 (Panthéon-Sorbonne)
1
Centre for Microdata Methods and Practice (CEMMAP)
1
Departamento de Economia, Pontifícia Universidade Católica do Rio de Janeiro
1
Department of Accounting, Finance and Economics, Griffith Business School
1
Department of Econometrics and Business Statistics, Monash Business School
1
Department of Economics, City University
1
Duke University, Department of Economics
1
Département de Sciences Économiques, Université de Montréal
1
Faculté des sciences économiques et sociales - Wirtschafts- und Sozialwissenschaftliche Fakultät, Université de Fribourg - Universität Freiburg
1
Fakultät für Wirtschaftswissenschaften, Technische Universität München
1
Federal Reserve Bank of Atlanta
1
Food and Agricultural Policy Research Institute (FAPRI), Iowa State University
1
HAL
1
Institut für Wirtschafts- und Sozialstatistik, Universität Dortmund
1
Judge Institute of Management Studies
1
Rimini Centre for Economic Analysis (RCEA)
1
Society for Economic Dynamics - SED
1
Sonderforschungsbereich 373, Quantifikation und Simulation ökonomischer Prozesse, Wirtschaftswissenschaftliche Fakultät
1
more ...
less ...
Published in...
All
CREATES Research Papers
5
CIRANO Working Papers
4
Tinbergen Institute Discussion Papers
4
Cahiers de recherche
3
MPRA Paper
3
Working Paper
3
BORRADORES DE ECONOMÍA Y FINANZAS
2
CEMMAP working papers / Centre for Microdata Methods and Practice
2
CORE Discussion Papers
2
Discussion paper / Tinbergen Institute
2
Finance
2
ICMA Centre Discussion Papers in Finance
2
Manuskripte aus den Instituten für Betriebswirtschaftslehre der Universität Kiel
2
Quaderni - working paper DSE / Alma Mater Studiorum - Università di Bologna, Department of Economics
2
Research Paper Series / Finance Discipline Group, Business School
2
Research paper series / Swiss Finance Institute
2
Swiss Finance Institute Research Paper
2
Technical Report
2
Tinbergen Institute Discussion Paper
2
2006 Meeting Papers
1
2009 Annual Meeting, July 26-28, 2009, Milwaukee, Wisconsin
1
Bloomberg Portfolio Research Paper
1
Boston College working papers in economics
1
CEFS Working Paper Series
1
CFS Working Paper
1
CORE discussion papers : DP
1
CeMMAP working papers
1
Center for Agricultural and Rural Development (CARD) Publications
1
Discussion Papers in Finance
1
Discussion paper
1
Diskussionspapiere / Fachbereich Wirtschaftswissenschaften, Universität Hannover
1
Documents de travail du Centre d'Economie de la Sorbonne
1
Econometrics
1
FSES Working Papers
1
Food and Agricultural Policy Research Institute (FAPRI) Publications
1
Monash Econometrics and Business Statistics Working Papers
1
Post-Print / HAL
1
Quaderni - Working Paper DSE
1
Regensburger Diskussionsbeiträge zur Wirtschaftswissenschaft
1
Research series / Universiteit van Amsterdam
1
more ...
less ...
Source
All
RePEc
48
ECONIS (ZBW)
23
EconStor
11
Showing
1
-
10
of
82
Sort
Relevance
Date (newest first)
Date (oldest first)
1
Essays in international finance : risk, jumps and diversification
M'Saddek, Oussama
-
2018
Persistent link: https://www.econbiz.de/10012204650
Saved in:
2
Leverage effects and stochastic volatility in spot oil returns : a Bayesian approach with VaR and CVaR applications
Chen, Liyuan
;
Zerilli, Paola
;
Baum, Christopher F.
-
2018
Persistent link: https://www.econbiz.de/10011891048
Saved in:
3
The good, the bad, and the asymmetric : evidence from a new conditional density model
Kostyrka, Andreï
;
Malakhov, Dmitry
-
2021
Persistent link: https://www.econbiz.de/10012542854
Saved in:
4
High frequency vs. daily resolution: The economic value of forecasting volatility models 2nd ed
Lilla, Francesca
-
2017
Forecasting volatility models typically rely on either daily or high frequency (HF) data and the choice between these two categories is not obvious. In particular, the latter allows to treat volatility as observable but they suffer from many limitations. HF data feature microstructure problem,...
Persistent link: https://www.econbiz.de/10011819006
Saved in:
5
Leverage
Effect
, Volatility Feedback, and Self-Exciting Market Disruptions
Carr, Peter
-
2017
The Samp;P 500 index return interacts negatively with its volatility. This paper traces the negative interaction to three distinct economic channels and proposes to disentangle the relative contribution of each channel using Samp;P 500 index options. First, equity volatility increases...
Persistent link: https://www.econbiz.de/10012706677
Saved in:
6
High frequency vs. daily resolution : the economic value of forecasting volatility models 2nd ed
Lilla, Francesca
-
2017
Forecasting volatility models typically rely on either daily or high frequency (HF) data and the choice between these two categories is not obvious. In particular, the latter allows to treat volatility as observable but they suffer from many limitations. HF data feature microstructure problem,...
Persistent link: https://www.econbiz.de/10011674479
Saved in:
7
High frequency vs. daily resolution : the economic value of forecasting volatility models
Lilla, Francesca
-
2016
Forecasting-volatility models typically rely on either daily or high frequency (HF) data and the choice between these two categories is not obvious. In particular, the latter allows to treat volatility as observable but they suffer of many limitations. HF data feature microstructure problem,...
Persistent link: https://www.econbiz.de/10011730304
Saved in:
8
A new approach to volatility modeling : the high-dimensional Markov Model
Augustyniak, Maciej
;
Bauwens, Luc
;
Dufays, Arnaud
-
2016
Persistent link: https://www.econbiz.de/10011894434
Saved in:
9
Extreme downside risk and financial crises
Harris, Richard D. F.
;
Nguyen, Linh H.
;
Stoja, Evarist
-
2015
Persistent link: https://www.econbiz.de/10011402719
Saved in:
10
Testing for
Leverage
Effect
in Financial Returns
Chorro, Christophe
;
Guegan, Dominique
;
Ielpo, Florian
; …
-
HAL
-
2014
significance of the latter. Relying on both in and out of sample tests we consistently find a weak contribution of
leverage
effect
…
Persistent link: https://www.econbiz.de/10011025593
Saved in:
1
2
3
4
5
6
7
8
9
Next
Last
Results per page
10
25
50
100
250
A service of the
zbw
×
Loading...
//-->