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Incorporation of a Leverage Effect in a Stochastic Volatility Model

In this note we show how the stochastic volatility model of Barndorff-Nielsen and Shephard (1998a) can be generalised to allow for the leverage effect. That is where a negative return sequence is associated with increases in volatility. This is important in empirical work on stock returns. This form of model allows a great deal of analytic tractability - inheriting from our original model formulation many attractive features.
Year of publication:
1998-01-01
Authors: Shephard, Neil ; Barndorff-Nielsen, Ole E.
Institutions: Department of Economics, Oxford University
Extent:
application/pdf
Series:
Type of publication: Book / Working Paper
Notes:
Number 1998-W14
Source:
Persistent link: https://www.econbiz.de/10010605098
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