Foundations of equity market leverage effects
This thesis examines the Leverage Effect in stocks, stock indices and stock options. The Leverage Effect refers to the observed negative correlation between an asset’s return and its volatility. Part I presents an examination of the Leverage Effect at the stock level. The research provides the first...
| Main Author: | |
|---|---|
| Published: |
University of Warwick
2014
|
| Subjects: | |
| Online Access: | http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.640972 |