Browsing HBS Scholarly Articles by Author "Engle, Robert"
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Structural GARCH: The Volatility-Leverage Connection
Engle, Robert; Siriwardane, Emil Nuwan (2015-07-21)We propose a new model of volatility where financial leverage amplifies equity volatility by what we call the “leverage multiplier.” The exact specification is motivated by standard structural models of credit; however, ...