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Is the 'Leverage Effect' a Leverage Effect?
14 references·16 citing·28 second hop
Is the 'Leverage Effect' a Leverage Effect? (2001)Is the 'Leverage Effect' a Leverage Effec…“Options, Futures, and Other Derivatives” (2016)“Options, Futures, and Other …Asymmetric Volatility and Risk in Equity Markets (2000)Asymmetric Volatility and Ris…Stock returns and volatility a firm-level analysis (1995)Stock returns and volatility …Good News, Bad News, Volatility, and Betas (1995)Good News, Bad News, Volatili…On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…ARCH modeling in finance (1992)ARCH modeling in financeConditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…Why Does Stock Market Volatility Change Over Time? (1989)Why Does Stock Market Volatil…The stochastic behavior of common stock variances Value, leverage and interest rate effects (1982)The stochastic behavior of co…The valuation of compound options (1979)The valuation of compound opt…The option pricing model and the risk factor of stock (1976)The option pricing model and …ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)ON THE PRICING OF CORPORATE D…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…The Cost of Capital, Corporation Finance and the Theory of Investment (1958)The Cost of Capital, Corporat…Forecasting crude oil price volatility via a HM-EGARCH model (2020)Forecasting crude oil price v…The microstructural foundations of leverage effect and rough volatility (2018)The microstructural foundatio…Leverage Effect, Volatility Feedback, and Self-Exciting Market Disruptions (2017)Leverage Effect, Volatility F…The volatility of a firm's assets and the leverage effect (2016)The volatility of a firm's as…The Role of Jumps and Leverage in Forecasting Volatility in International Equity Markets (2016)The Role of Jumps and Leverag…The Joint Cross Section of Stocks and Options (2013)The Joint Cross Section of St…The Estimation of Leverage Effect With High-Frequency Data (2013)The Estimation of Leverage Ef…Time-varying leverage effects (2012)Time-varying leverage effectsVolatility in Equilibrium: Asymmetries and Dynamic Dependencies (2011)Volatility in Equilibrium: As…The Asymmetric Wealth Effect in the US Housing and Stock Markets: Evidence from the Threshold Cointegration Model (2011)The Asymmetric Wealth Effect …Variance Risk Premia in Energy Commodities (2010)Variance Risk Premia in Energ…The Recent Behaviour of Financial Market Volatility (2007)The Recent Behaviour of Finan…Predictability of large future changes in major financial indices (2005)Predictability of large futur…The Greek implied volatility index: construction and properties (2004)The Greek implied volatility …Expectations of Equity Risk Premia, Volatility and Asymmetry from a Corporate Finance Perspective (2001)Expectations of Equity Risk P…The Dynamics of DAX Implied Volatilities (2000)The Dynamics of DAX Implied V…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Multivariate Simultaneous Generalized ARCH (1995)Dynamic Conditional Correlation (2002)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Time Series Analysis: Forecasting and Control (1977)Threshold heteroskedastic models (1994)Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk (2001)The distribution of realized stock return volatility (2001)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Theory of rational option pricing (2005)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Option pricing when underlying stock returns are discontinuous (1976)The valuation of options for alternative stochastic processes (1976)An equilibrium characterization of the term structure (1977)DISTRIBUTION OF INCOMES OF CORPORATIONS AMONG DIVIDENDS, RETAINED EARNINGS AND TAXES (1956)Law and Finance (1998)Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? (1980)Expected stock returns and volatility (1987)An Engine, Not a Camera (2006)Facts and Fantasies about Commodity Futures (2006)Introductory Econometrics for Finance (2008)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)The Cross‐Section of Volatility and Expected Returns (2006)International Asset Allocation With Regime Shifts (2002)Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)Expected Stock Returns and Variance Risk Premia (2009)
this work references cited by second hop

References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1958The Cost of Capital, Corporation Finance and the Theory of Investment14,494 cited
  • 1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*10,779 cited
  • 1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,268 cited
  • 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks9,041 cited
  • 2016“Options, Futures, and Other Derivatives”5,007 cited
  • 1992ARCH modeling in finance4,288 cited
  • 1989Why Does Stock Market Volatility Change Over Time?3,433 cited
  • 1982The stochastic behavior of common stock variances Value, leverage and interest rate effects2,382 cited
  • 2000Asymmetric Volatility and Risk in Equity Markets1,471 cited
  • 1976The option pricing model and the risk factor of stock1,239 cited
  • 1979The valuation of compound options1,107 cited
  • 1995Good News, Bad News, Volatility, and Betas406 cited
  • 1995Stock returns and volatility a firm-level analysis391 cited

Cited by

  • 2016The volatility of a firm's assets and the leverage effect166 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

  • 2018The microstructural foundations of leverage effect and rough volatility154 cited
  • 2005Predictability of large future changes in major financial indices148 cited
  • 2013The Joint Cross Section of Stocks and Options135 cited
  • 2011Volatility in Equilibrium: Asymmetries and Dynamic Dependencies114 cited
  • 2012Time-varying leverage effects105 cited
  • 2001Expectations of Equity Risk Premia, Volatility and Asymmetry from a Corporate Finance Perspective103 cited
  • 2013The Estimation of Leverage Effect With High-Frequency Data100 cited
  • 2017Leverage Effect, Volatility Feedback, and Self-Exciting Market Disruptions99 cited
  • 2011The Asymmetric Wealth Effect in the US Housing and Stock Markets: Evidence from the Threshold Cointegration Model99 cited
  • 2007The Recent Behaviour of Financial Market Volatility85 cited
  • 2010Variance Risk Premia in Energy Commodities82 cited
  • 2016The Role of Jumps and Leverage in Forecasting Volatility in International Equity Markets79 cited
  • 2020Forecasting crude oil price volatility via a HM-EGARCH model78 cited
  • 2004The Greek implied volatility index: construction and properties76 cited
  • 2000The Dynamics of DAX Implied Volatilities68 cited