Browsing UiS Brage by Author "Olsen, Torbjørn Bigseth"
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Leverage Effect in Equity Markets Around the World
Horpestad, Jone Byberg; Olsen, Torbjørn Bigseth (Masteroppgave/UIS-SV-HH/2017;, Master thesis, 2017-06)Equity indices are known to exhibit an asymmetric leverage effect, meaning that negative returns have a greater impact on volatility than positive returns of the same magnitude. We reevaluate the presence of leverage effect ...