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The volatility of a firms assets and the leverage effect. (2016). Choi, Jae Won ; Richardson, Matthew.
In: Journal of Financial Economics.
RePEc:eee:jfinec:v:121:y:2016:i:2:p:254-277.

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Cited: 27

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  1. Bonds versus Equities: Information for Investment. (2024). Chang, Huifeng ; Eisfeldt, Andrea L ; D'Avernas, Adrien.
    In: Journal of Finance.
    RePEc:bla:jfinan:v:79:y:2024:i:6:p:3893-3941.

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  2. Credit default swaps and firm risk. (2023). Nguyen, Binh Hoang ; Lin, Hai ; Zhang, Cheng ; Wang, Junbo.
    In: Journal of Futures Markets.
    RePEc:wly:jfutmk:v:43:y:2023:i:11:p:1668-1692.

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  3. Implied Volatility Changes and Corporate Bond Returns. (2023). Zhan, Xintong ; Xiao, Xiao ; Goyal, Amit ; Cao, Jie.
    In: Management Science.
    RePEc:inm:ormnsc:v:69:y:2023:i:3:p:1375-1397.

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  4. Do ESG Ratings Reduce the Asymmetry Behavior in Volatility?. (2022). Eratalay, Mustafa Hakan ; Liebhardt, Sascha ; Zarafat, Hashem.
    In: JRFM.
    RePEc:gam:jjrfmx:v:15:y:2022:i:8:p:320-:d:869529.

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  5. Modeling and forecasting firm-specific volatility: The role of asymmetry and long-memory. (2022). Gonzalez-Pla, Francisco ; Lovreta, Lidija.
    In: Finance Research Letters.
    RePEc:eee:finlet:v:48:y:2022:i:c:s1544612322001933.

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  6. Forecasting realized volatility: The role of implied volatility, leverage effect, overnight returns, and volatility of realized volatility. (2021). Tsakou, Katerina ; McMillan, David G ; Kambouroudis, Dimos S.
    In: Journal of Futures Markets.
    RePEc:wly:jfutmk:v:41:y:2021:i:10:p:1618-1639.

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  7. The impact of the leverage effect on the implied volatility smile: evidence for the German option market. (2021). Stockl, S ; Stadler, J ; Rathgeber, A W.
    In: Review of Derivatives Research.
    RePEc:kap:revdev:v:24:y:2021:i:2:d:10.1007_s11147-020-09171-3.

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  8. Asset Volatility and Capital Structure: Evidence from Corporate Mergers. (2021). Wu, Youchang ; Levine, Oliver.
    In: Management Science.
    RePEc:inm:ormnsc:v:67:y:2021:i:5:p:2773-2798.

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  9. Aggregate Distress Risk and Equity Returns. (2021). Jiang, Xiaowen ; Guo, Hui.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:133:y:2021:i:c:s0378426621002478.

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  10. Why do banks target ROE?. (2021). , Joo ; Pennacchi, George G.
    In: Journal of Financial Stability.
    RePEc:eee:finsta:v:54:y:2021:i:c:s1572308921000152.

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  11. Same firm, two volatilities: How variance risk is priced in credit and equity markets. (2021). Tortorice, Daniel ; Kita, Arben.
    In: Journal of Corporate Finance.
    RePEc:eee:corfin:v:69:y:2021:i:c:s0929119921000055.

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  12. Cryptocurrency volatility forecasting: A Markov regime?switching MIDAS approach. (2020). M. I. M. Wahab, ; Ma, Yuanhui ; Liang, Chao.
    In: Journal of Forecasting.
    RePEc:wly:jforec:v:39:y:2020:i:8:p:1277-1290.

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  13. The surface of implied firm’s asset volatility. (2020). Silaghi, Florina ; Lovreta, Lidija.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:112:y:2020:i:c:s0378426617302789.

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  14. Asymmetric relationship between implied volatility, index returns and trading volume: an application of quantile regression model. (2019). Roy, Preeti ; Siddiqui, Saif.
    In: DECISION: Official Journal of the Indian Institute of Management Calcutta.
    RePEc:spr:decisn:v:46:y:2019:i:3:d:10.1007_s40622-019-00218-5.

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  15. Persistence in firm’s asset and equity volatility. (2019). Lovreta, Lidija ; Gonzalez-Pla, Francisco.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:535:y:2019:i:c:s037843711931310x.

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  16. Heads I win, tails you lose: Asymmetric taxes, risk taking, and innovation. (2019). Levine, Oliver ; Glover, Brent ; Albertus, James F.
    In: Journal of Monetary Economics.
    RePEc:eee:moneco:v:105:y:2019:i:c:p:24-40.

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  17. The leverage effect and the basket-index put spread. (2019). Bai, Jennie ; Yang, Fan ; Goldstein, Robert S.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:131:y:2019:i:1:p:186-205.

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  18. Idiosyncratic volatility, the VIX and stock returns. (2019). Chen, Nir ; Kliger, Doron ; Qadan, Mahmoud.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:47:y:2019:i:c:p:431-441.

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  19. The variance risk premium and capital structure. (2018). Lotfaliei, Babak.
    In: ESRB Working Paper Series.
    RePEc:srk:srkwps:201870.

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  20. Structural GARCH: The Volatility-Leverage Connection. (2018). Engle, Robert ; Siriwardane, Emil N.
    In: Review of Financial Studies.
    RePEc:oup:rfinst:v:31:y:2018:i:2:p:449-492..

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  21. Why do banks target ROE?. (2018). santos, joao ; Pennacchi, George.
    In: Staff Reports.
    RePEc:fip:fednsr:855.

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  22. Inventory component volatility and its relation to returns. (2018). Bendig, David ; Downar, Benedikt ; Brettel, Malte.
    In: International Journal of Production Economics.
    RePEc:eee:proeco:v:200:y:2018:i:c:p:37-49.

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  23. Anomalies and market (dis)integration. (2018). Choi, Jae Won ; Kim, Yong Jun.
    In: Journal of Monetary Economics.
    RePEc:eee:moneco:v:100:y:2018:i:c:p:16-34.

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  24. Financing as a supply chain: The capital structure of banks and borrowers. (2018). Gornall, Will ; Strebulaev, Ilya A.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:129:y:2018:i:3:p:510-530.

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  25. Financing behavior of firms in tranquil and crisis period: Evidence from China. (2017). Mirza, Sultan Sikandar ; McMillan, David ; Iqbal, Amjad ; Yan, YU ; Jebran, Khalil.
    In: Cogent Economics & Finance.
    RePEc:taf:oaefxx:v:5:y:2017:i:1:p:1339770.

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  26. Structural GARCH: The Volatility-Leverage Connection. (2014). Engle, Robert ; Siriwardane, Emil.
    In: Working Papers.
    RePEc:ofr:wpaper:14-07.

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  27. Financing as a Supply Chain: The Capital Structure of Banks and Borrowers. (2013). Strebulaev, Ilya ; Gornall, William .
    In: NBER Working Papers.
    RePEc:nbr:nberwo:19633.

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    RePEc:srk:srkwps:201870.

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  19. The microstructural foundations of leverage effect and rough volatility. (2018). Rosenbaum, Mathieu ; Fukasawa, Masaaki ; Euch, Omar.
    In: Finance and Stochastics.
    RePEc:spr:finsto:v:22:y:2018:i:2:d:10.1007_s00780-018-0360-z.

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  20. Evidence of Bull and Bear Markets in the Bovespa index: An application of Markovian regime-switching Models with Duration Dependence. (2018). de Paula, Fernando Henrique ; Moura, Guilherme Valle ; Caldeira, Joo Frois .
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  21. Outliers and misleading leverage effect in asymmetric GARCH-type models. (2018). Carnero, M. Angeles ; Espartero, Ana Perez.
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  22. An agent-based model of intra day financial markets dynamics. (2018). Staccioli, Jacopo ; Napoletano, Mauro.
    In: Documents de Travail de l'OFCE.
    RePEc:fce:doctra:1834.

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  23. Tail risk and the return-volatility relation. (2018). Chevallier, Julien ; Aboura, Sofiane.
    In: Research in International Business and Finance.
    RePEc:eee:riibaf:v:46:y:2018:i:c:p:16-29.

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  24. Testing against constant factor loading matrix with large panel high-frequency data. (2018). Kong, Xin-Bing ; Liu, Cheng.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:204:y:2018:i:2:p:301-319.

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  25. Estimation of the Continuous and Discontinuous Leverage Effects. (2017). Fan, Jianqing ; Ait-Sahalia, Yacine ; Yang, Xiye ; Wang, Christina Dan.
    In: Journal of the American Statistical Association.
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  26. Nonparametric Estimation of the Leverage Effect: A Trade-Off Between Robustness and Efficiency. (2017). Kalnina, Ilze ; Xiu, Dacheng.
    In: Journal of the American Statistical Association.
    RePEc:taf:jnlasa:v:112:y:2017:i:517:p:384-396.

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  27. Volatility Clustering, Leverage Effects and Risk-Return Tradeoff in the Selected Stock Markets in the CEE Countries. (2017). Drachal, Krzysztof.
    In: Journal for Economic Forecasting.
    RePEc:rjr:romjef:v::y:2017:i:3:p:37-53.

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  28. Real-Time GARCH. (2017). Smetanina, Ekaterina .
    In: Journal of Financial Econometrics.
    RePEc:oup:jfinec:v:15:y:2017:i:4:p:561-601..

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  29. Estimation of the discontinuous leverage effect: Evidence from the NASDAQ order book. (2017). Neely, Christopher ; Winkelmann, Lars ; Bibinger, Markus.
    In: Working Papers.
    RePEc:fip:fedlwp:2017-012.

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  30. Explaining the negative returns to volatility claims: An equilibrium approach. (2017). Eraker, Bjorn ; Wu, Yue.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:125:y:2017:i:1:p:72-98.

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  31. What should be the dependent variable in marketing-related event studies?. (2017). Skiera, Bernd ; Scholer, Lisa ; Bayer, Emanuel.
    In: International Journal of Research in Marketing.
    RePEc:eee:ijrema:v:34:y:2017:i:3:p:641-659.

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  32. Testing for non-correlation between price and volatility jumps. (2017). Jacod, Jean ; Muller, Gernot ; Kluppelberg, Claudia.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:197:y:2017:i:2:p:284-297.

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  33. Modeling microstructure price dynamics with symmetric Hawkes and diffusion model using ultra-high-frequency stock data. (2017). Lee, Kyungsub ; Ki, Byoung .
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:79:y:2017:i:c:p:154-183.

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  34. AN OPTION VALUATION FRAMEWORK BASED ON ARITHMETIC BROWNIAN MOTION: JUSTIFICATION AND IMPLEMENTATION ISSUES. (2017). Brooks, Robert.
    In: Journal of Financial Research.
    RePEc:bla:jfnres:v:40:y:2017:i:3:p:401-427.

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  35. Correction to Black-Scholes formula due to fractional stochastic volatility. (2017). Garnier, Josselin ; Solna, Knut.
    In: Papers.
    RePEc:arx:papers:1509.01175.

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  36. Inference on Self-Exciting Jumps in Prices and Volatility using High Frequency Measures. (2016). Forbes, Catherine S ; Martin, Gael M ; Maneesoonthorn, Worapree.
    In: Monash Econometrics and Business Statistics Working Papers.
    RePEc:msh:ebswps:2016-8.

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  37. The volatility of a firms assets and the leverage effect. (2016). Choi, Jae Won ; Richardson, Matthew.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:121:y:2016:i:2:p:254-277.

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  38. Leverage and asymmetric volatility: The firm-level evidence. (2016). Mazzotta, Stefano ; Ericsson, Jan ; Huang, Xiao.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:38:y:2016:i:pa:p:1-21.

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  39. Efficient estimation of integrated volatility incorporating trading information. (2016). Li, Yingying ; Zheng, Xinghua ; Xie, Shangyu.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:195:y:2016:i:1:p:33-50.

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  40. A nonparametric test of a strong leverage hypothesis. (2016). Whang, Yoon-Jae ; LINTON, OLIVER ; Yen, Yu-Min .
    In: Journal of Econometrics.
    RePEc:eee:econom:v:194:y:2016:i:1:p:153-186.

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  41. The microstructural foundations of leverage effect and rough volatility. (2016). Euch, EL ; Mathieu, Rosenbaum ; Masaaki, Fukasawa .
    In: Papers.
    RePEc:arx:papers:1609.05177.

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  42. Inference on Self-Exciting Jumps in Prices and Volatility using High Frequency Measures. (2016). Martin, Gael ; Forbes, Catherine ; Maneesoonthorn, Worapree.
    In: Papers.
    RePEc:arx:papers:1401.3911.

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  43. QUANTILE CORRELATIONS: UNCOVERING TEMPORAL DEPENDENCIES IN FINANCIAL TIME SERIES. (2015). Schmitt, Thilo A ; Guhr, Thomas ; Dette, Holger ; Schafer, Rudi .
    In: International Journal of Theoretical and Applied Finance (IJTAF).
    RePEc:wsi:ijtafx:v:18:y:2015:i:07:n:s0219024915500442.

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  44. Market risk of BRIC Eurobonds in the financial crisis period. (2015). VORTELINOS, DIMITRIOS ; Lakshmi, Geeta .
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:39:y:2015:i:c:p:295-310.

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  45. Asset pricing with arbitrage activity. (2015). Hugonnier, Julien ; Prieto, Rodolfo .
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:115:y:2015:i:2:p:411-428.

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  46. Quantile Correlations: Uncovering temporal dependencies in financial time series. (2015). Schmitt, Thilo A ; Guhr, Thomas ; Dette, Holger ; Schafer, Rudi .
    In: Papers.
    RePEc:arx:papers:1507.04990.

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  47. Bayesian Modeling and Forecasting of 24-Hour High-Frequency Volatility. (2014). Stroud, Jonathan R. ; Johannes, Michael S..
    In: Journal of the American Statistical Association.
    RePEc:taf:jnlasa:v:109:y:2014:i:508:p:1368-1384.

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  48. Maximum likelihood estimation of partially observed diffusion models. (2014). Yu, Jun ; Kleppe, Tore ; Skaug, Hans J..
    In: Journal of Econometrics.
    RePEc:eee:econom:v:180:y:2014:i:1:p:73-80.

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  49. A new approach to Bayesian hypothesis testing. (2014). Yu, Jun ; Li, Yong ; JunYu, ; Zeng, Tao.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:178:y:2014:i:p3:p:602-612.

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  50. The reactive volatility model. (2013). Aboura, Sofiane ; Grebenkov, Denis ; Valeyre, Sebastien ; Liu, Qian.
    In: Quantitative Finance.
    RePEc:taf:quantf:v:13:y:2013:i:11:p:1697-1706.

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