Essays about: "Joos Jacob Maarten De Voogd"

Found 1 essay containing the words Joos Jacob Maarten De Voogd.

  1. 1. Asymmetric Volatility: Testing Firm-specific Factors as a Cause for the “Leverage Effect” Using GARCH-modeling

    University essay from Lunds universitet/Företagsekonomiska institutionen

    Author : Joos Jacob Maarten De Voogd; Thijs Geschiere; [2015]
    Keywords : Volatility forecasts; leverage effect; GARCH; GJR-GARCH; Business and Economics;

    Abstract : This thesis aims to investigate the dynamics of the so-called “leverage-effect”. This asymmetry in volatility after negative shocks, relative to positive shocks has been documented extensively before. However, except for findings that it is not due to leverage, the underlying or enhancing factors that cause it have not been investigated. READ MORE