On idiosyncratic stochasticity of financial leverage effects

We model leverage as stochastic but independent of return shocks and of volatility and perform likelihood-based inference via the recently developed iterated filtering algorithm using S&P500 data, contributing new evidence to the still slim empirical support for random leverage variation.

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Year of publication:	2014
Authors:	Bretó, Carles
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 91.2014, C, p. 20-26
Publisher:	Elsevier
Subject:	Stochastic leverage \| Random-walk time-varying parameter \| Non-linear non-Gaussian state-space model \| Maximum likelihood estimation \| Particle filter

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

Persistent link: https://www.econbiz.de/10011040119