Jean-Marie Dufour, René Garcia, Abderrahim Taamouti: We provide evidence on two alternative mechanisms of interaction between returns and volatilities: the leverage effect and the volatility feedback effect.
EDHEC Business School
Universidad Carlos III de Madrid
|Type :||Working paper|
|Date :||le 06/06/2011|
|Extra information :||For more information, please contact EDHEC Research and Development Department [ email@example.com ]|
|Research Cluster :||Finance|