Open AccessStructural GARCH: The Volatility-Leverage Connection
Author(s) -
Robert F. Engle,
Emil Siriwardane
Publication year - 2017
Publication title -
review of financial studies
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 12.8
H-Index - 190
eISSN - 1465-7368
pISSN - 0893-9454
DOI - 10.1093/rfs/hhx099
Subject(s) - volatility (finance) , volatility risk premium , volatility swap , volatility smile , leverage (statistics) , implied volatility , economics , leverage effect , equity (law) , financial crisis , financial economics , stochastic volatility , monetary economics , econometrics , business , autoregressive conditional heteroskedasticity , macroeconomics , computer science , political science , machine learning , law
Accelerating Research
Robert Robinson Avenue,
Oxford Science Park, Oxford
OX4 4GP, United Kingdom
Address
John Eccles HouseRobert Robinson Avenue,
Oxford Science Park, Oxford
OX4 4GP, United Kingdom