How Do Volatility and Return Series Interact?
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More about this item
Keywords
Volatility feedback hypothesis; Leverage effect; Endogeneity;All these keywords.
JEL classification:
- C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
NEP fields
This paper has been announced in the following NEP Reports:- NEP-FMK-2021-02-01 (Financial Markets)
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