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Ioannis Papantonis

Bank of England

Quantitative Risk Analyst | Risk Methodology | Financial Risk & Resilience Division (FRRD) | Markets & Banking

Threadneedle Street

London, EC2R 8AH

United Kingdom

Athens University of Economics & Business | Department of Economics

PhD Researcher in Financial Economics and Econometrics

76 Patission Street

GR-10434 Athens

Greece

  • Bank of England

  • Athens University of Economics & Business | Department of Economics

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Leverage Effect, Volatility Feedback and the Influence of Jumps

Number of pages: 45 Posted: 23 Aug 2025
Elias Tzavalis, Orestis Agapitos, Ioannis Papantonis and Leonidas Rompolis
Athens University of Economics and Business - Department of Economics, Athens University of Economics and Business, Bank of England and Athens University of Economics and Business - Department of Accounting and Finance
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Abstract:

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Leverage effect, Volatility feedback, Structural VAR, Sign restrictions, Realized variance, Signed-jump variation