Leverage effect,volatility feedback,and self-exciting market disruptions

Keyphrases

• Self-excitation 100%
• Volatility 100%
• Leverage Effect 100%
• Volatility Feedback 100%
• Market Disruption 100%
• Index Returns 66%
• Financial Leverage 66%
• Relative Contribution 33%
• Risk Increase 33%
• Three-channel 33%
• Future Cash Flows 33%
• Pricing Options 33%
• Cost of Capital 33%
• Equity Indices 33%
• Positive Shocks 33%
• Stock Option Pricing 33%
• Systematic Risk 33%
• Index Option Pricing 33%

Economics, Econometrics and Finance

• Volatility 100%
• Pricing 50%
• Capital Structure 50%
• Cash Flow 25%
• Stock Option 25%
• Cost of Capital 25%