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What is Market Disruptions and Volatility Dynamics about?

This paper proposes a model to analyze the interaction between equity index volatility and returns through three channels: financial leverage, volatility feedback, and self-exciting market disruptions. The authors estimate the model using S&P 500 index options to understand the contributions of each channel to option pricing and how they differ across companies with varying capital structures. The findings reveal that the negative correlation between returns and volatility can arise from multiple sources, c

Author

rodrigobranco20

Language

EN