A study about the existence of the leverage effect in stochastic volatility models

The empirical relationship between the return of an asset and the volatility of the asset has been well documented in the financial literature. Named the leverage effect or sometimes risk-premium effect, it is observed in real data that, when the return of the asset decreases, the volatility increases and vice versa.

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Year of publication:	2009
Authors:	Florescu, Ionuţ ; Pãsãricã, Cristian Gabriel
Published in:	Physica A: Statistical Mechanics and its Applications. - Elsevier, ISSN 0378-4371. - Vol. 388.2009, 4, p. 419-432
Publisher:	Elsevier
Subject:	Stochastic volatility \| Modeling \| Leverage effect \| The Itô lemma

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011061092