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

Ionuţ Florescu and Cristian Gabriel Pãsãricã

Physica A: Statistical Mechanics and its Applications, 2009, vol. 388, issue 4, 419-432

Abstract: 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.

Keywords: Stochastic volatility; Modeling; Leverage effect; The Itô lemma (search for similar items in EconPapers)
Date: 2009
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Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:388:y:2009:i:4:p:419-432

DOI: 10.1016/j.physa.2008.10.012

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