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Volatility components, leverage effects, and the return–volatility relations · Study

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ArticleVolatility components, leverage effects, and the return–volatility relations

Junye Li2010

OA

Articlegreen2010

Volatility components, leverage effects, and the return–volatility relations

18 citations·0/0 files stored·Journal of Banking & Finance

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Financial Risk and Volatility Modeling Financial Markets and Investment Strategies Stochastic processes and financial applications

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References

1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks 1985A Theory of the Term Structure of Interest Rates 1973An Intertemporal Capital Asset Pricing Model 1987Expected stock returns and volatility 1980On estimating the expected return on the market 1973A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices 1982The stochastic behavior of common stock variances Value, leverage and interest rate effects 1985Stock Returns and the Term Structure

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2015Time-varying international stock market interaction and the identification of volatility signals

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Year2010

Typearticle

Published2010-11-05

VenueJournal of Banking & Finance

ISSN-L0378-4266

Languageen

Citations18

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.jbankfin.2010.10.026

openalex_workW1567037536

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