# A melhor ferramenta para a sua pesquisa, trabalho e TCC!

## Assimetrias na volatilidade e nas perturbações nos modelos de volatilidade; Leverage effect and asymmetry of the error distribution in volatility models

## THE LEVERAGE EFFECT AND THE ASYMMETRY OF THE ERROR DISTRIBUTION IN GARCH-BASED MODELS: THE CASE OF BRAZILIAN MARKET RELATED SERIES

## The Leverage Effect on Wealth Distribution in a Controllable Laboratory Stock Market

## A Theoretical Comparison Between Integrated and Realized Volatilies

## Modelling long-memory volatilities with leverage effect: ALMSV versus FIEGARCH

## Measuring causality between volatility and returns with high-frequency data

## Modelling long-memory volatilities with leverage effect: A-LMSV versus FIEGARCH

## Volatility models with Leverage effect

## A note on the properties of power-transformed returns in long-memory stochastic volatility models with leverage effect

## One for all : nesting asymmetric stochastic volatility models

## Identification of asymmetric conditional heteroscedasticity in the presence of outliers

## Asymmetric Smiles, Leverage Effects and Structural Parameters.

## Erratum for: Smile dynamics -- a theory of the implied leverage effect

## Gain/loss asymmetry in time series of individual stock prices and its relationship to the leverage effect

## Principal Regression Analysis and the index leverage effect

## The leverage effect in financial markets: retarded volatility and market panic

## Smile dynamics -- a theory of the implied leverage effect

## Leverage effect in energy futures

## Executive Compensation and Firm Leverage

This dissertation explores the role of executive compensation in determining the capital structure decisions of a firm. CEOs experience a large personal cost of default that interacts through the risk adjusted probability of default with their compensation contract. Since default happens in a particularly costly state of the world for a CEO whose compensation contract consists primarily of pay for performance elements, i.e. a CEO who has a large personal equity stake in the firm, a large pay performance sensitivity is negatively and significantly associated with firm leverage choice. I document this effect in detail for the first time, and I show that it is both statistically robust and significant in magnitude, approximately 1\% of firm value. I show that this effect is driven by the stock holdings of the CEO, not the option holdings. I provide a simple principal agent model that explains the observed negative relationship and makes additional predictions on the relationship of other firm characteristics to pay performance sensitivity and leverage. I then test and confirm these predictions empirically using a standard OLS framework and an instrumental variable approach to control for endogeneity in the compensation contract. I also look at leverage adjustment speeds and show that CEOs with higher pay performance sensitivity adjust leverage upwards towards target values more slowly and downwards more quickly than their peers...