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In finance, the asymmetric volatility phenomenon (AVP) and volatility skew are two well‐known topics related to firm risk. In early research, the AVP was documented by Black (Proc 1976 Meetings Business Econ Stat Sect 1976, 177–181), who proposed two possible explanations. The veracity of one such explanation, the “leverage effect,” has long remained controversial. The volatility skew is considered...
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