Publication:
On idiosyncratic stochasticity of financial leverage effects

Thumbnail Image
Identifiers
URI: https://hdl.handle.net/10016/23480
ISSN: 0167-7152
DOI: http://dx.doi.or/10.1016/j.spl.2014.04.003
UXXI: AR/0000015308
Files
idiosyncratic_SPL_2014_ps.pdf (798.42 KB)
Publication date
2014-08
Defense date
Authors
Advisors
Tutors
Journal Title
Journal ISSN
Volume Title
Publisher
Elsevier
Impact
Google Scholar
Export
Research Projects
Organizational Units
Journal Issue
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.
Description
Keywords
Stochastic leverage, Random-walk time-varying parameter, Non-linear non-Gaussian state-space model, Maximum likelihood estimation, Particle filter
Bibliographic citation
Bretó, C. On idiosyncratic stochasticity of financial leverage effects, Statistics & Probability Letters, August 2014, v. 91, pp. 20-26
Collections
DES - Artículos de Revistas