Leverage Effect, Volatility Feedback, and Self-Exciting Market Disruptions
Journal of financial and quantitative analysis, 2017-10, Vol.52 (5), p.2119-2156 [Peer Reviewed Journal]Copyright © Michael G. Foster School of Business, University of Washington 2017 ;COPYRIGHT 2017, MICHAEL G. FOSTER SCHOOL OF BUSINESS, UNIVERSITY OF WASHINGTON ;Copyright University of Washington, School of Business Administration Oct 2017 ;ISSN: 0022-1090 ;EISSN: 1756-6916 ;DOI: 10.1017/S0022109017000564
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