Sökning: "asymmetric volatlity"

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  1. 1. The Leverage Effect - Uncovering the true nature of U.S. asymmetric volatility

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Christoffer Dahlvid; Per Granberg; [2017]
    Nyckelord :Leverage effect; asymmetric volatlity; firm specific variables; volatility; GJR-GARCH; EGARCH; panel data; Business and Economics;

    Sammanfattning : The topic of this thesis is the leverage effect i.e. asymmetric volatility. The leverage effect describes the negative relationship between asset value and volatility. LÄS MER