
10:30 am
Leopoldo CATANIA (Aarhus University) “The Leverage Effect and Propagation”
The Financial Econometrics Seminar: Time: 10:30 pm Date: 14th of April 2022 Room 3001+ zoom Leopoldo CATANIA (Aarhus University) "The Leverage Effect and Propagation" Abstract : This paper proposes a new way to measure the leverage effect and its propagation over time. We also show that, with respect to the newly proposed measure, common volatility […]
Find out more »Frederik OKSLUND (Aarhus University) “In Search of Regimes in Log-Realized Volatility”
The Financial Econometrics Seminar: Time: 11:30 pm Date: 14th of April 2022 Room 3001+ zoom Frederik OKSLUND (Aarhus University) "In Search of Regimes in Log-Realized Volatility" Abstract :We investigate whether regimes exist in the realized log-volatility processes of a number of stock indices by applying a handful of dynamic mixture models to this process in […]
Find out more »