BACKGROUND For complex financial systems, the negative and positive return-volatility correlations, i.e., the so-called leverage and anti-leverage effects, are particularly important for the understanding of the price dynamics. However, the microscopic origination of the leverage and anti-leverage effects is still not understood, and how to produce these effects in agent-based modeling remains ...

investing in stock markets usually is involved in more risks than the bounds and bank deposits. it is expected that resulting returns (capital gain plus yields) from trading in a stock market to be more than those of in a risk free investment. therefore, developing accurate techniques of estimation and forecasting in volatility analysis of financial markets is inevitable. sum squares of weekly ...

The purpose of this paper is to examine whether equity options traded on individual firms are sensitive to the firm’s leverage, and to see if adding leverage to the option model improves its pricing accuracy. In a hitherto unexamined economic approach to option valuation, we use reported leverage from financial statements, and a compound option (CO) model, for valuing stock options on individua...

Decreases in stock market returns often lead to higher increases in volatility than increases in returns of the same magnitude, and it is common to incorporate these so-called leverage effects in GARCH and stochastic volatility models. Recent research has also found it useful to account for leverage in models of realized volatility, as well as in models of the continuous and jump components of ...

The banks’ response to their changes in leverage ratios is examined and evaluated in this paper. This reaction can be interpreted as if the coefficient of total debts to equity (lev1) and total assets to equity (lev2) are positive as anticipated in the banking network of Iran. The paper uses data from 31 Iranian banks’ annual databases during the course of 2006-13 in order to estimate an empiri...

Persons who handle money for patients with mental disabilities often use access to funds as leverage to promote adherence to treatment. Drawing on data from a five-site study involving interviews of 1011 patients at community mental health centers, this paper explores who provides money assistance, the predictors of leverage use, and its impact on patients. A substantial minority of patients re...