On idiosyncratic stochasticity of financial leverage effects

Bretó, Carles

Publication:
On idiosyncratic stochasticity of financial leverage effects

dc.affiliation.dpto	UC3M. Departamento de Estadística	es
dc.contributor.author	Bretó, Carles
dc.date.accessioned	2016-08-26T11:54:54Z
dc.date.available	2016-08-26T11:54:54Z
dc.date.issued	2014-08
dc.description.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.	en
dc.description.sponsorship	This work was supported by Spanish Government Project ECO2012-32401 and Spanish Program Juan de la Cierva (JCI-2010-06898).	en
dc.format.mimetype	application/pdf
dc.identifier.bibliographicCitation	Bretó, C. On idiosyncratic stochasticity of financial leverage effects, Statistics & Probability Letters, August 2014, v. 91, pp. 20-26	en
dc.identifier.doi	http://dx.doi.or/10.1016/j.spl.2014.04.003
dc.identifier.issn	0167-7152
dc.identifier.publicationfirstpage	20
dc.identifier.publicationlastpage	26
dc.identifier.publicationtitle	Statistics and probability letters	en
dc.identifier.publicationvolume	91
dc.identifier.uri	https://hdl.handle.net/10016/23480
dc.identifier.uxxi	AR/0000015308
dc.language.iso	eng	es
dc.publisher	Elsevier	es
dc.relation.projectID	Gobierno de España. JCI-2010-06898	es
dc.relation.publisherversion	http://dx.doi.org/10.1016/j.spl.2014.04.003	es
dc.rights	© Elsevier	es
dc.rights	Atribución-NoComercial-SinDerivadas 3.0 España	*
dc.rights.accessRights	open access	en
dc.rights.uri	http://creativecommons.org/licenses/by-nc-nd/3.0/es/	*
dc.subject.eciencia	Economía	es
dc.subject.other	Stochastic leverage	en
dc.subject.other	Random-walk time-varying parameter	en
dc.subject.other	Non-linear non-Gaussian state-space model	en
dc.subject.other	Maximum likelihood estimation	en
dc.subject.other	Particle filter	en
dc.title	On idiosyncratic stochasticity of financial leverage effects	en
dc.type	research article	*
dc.type.hasVersion	AM	*
dspace.entity.type	Publication