Open AccessWhy Does Bad News Increase Volatility and Decrease Leverage?
Author(s) -
Ana Fostel,
John Geanakoplos
Publication year - 2011
Publication title -
ssrn electronic journal
Language(s) - English
Resource type - Journals
ISSN - 1556-5068
DOI - 10.2139/ssrn.1752234
Subject(s) - volatility (finance) , leverage (statistics) , leverage effect , monetary economics , economics , business , econometrics , financial economics , mathematics , autoregressive conditional heteroskedasticity , statistics
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