On idiosyncratic stochasticity of financial leverage effects

Carles Bret\'o

Papers from arXiv.org

Abstract: 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.

Date: 2013-12
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Published in Statistics & Probability Letters 91 (2014) 20-26

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