RT Journal Article
T1 On idiosyncratic stochasticity of financial leverage effects
A1 Bretó, Carles
AB 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.
PB Elsevier
SN 0167-7152
YR 2014
FD 2014-08
LK https://hdl.handle.net/10016/23480
UL https://hdl.handle.net/10016/23480
LA eng
NO This work was supported by Spanish Government Project ECO2012-32401 and Spanish Program Juan de la Cierva (JCI-2010-06898).
DS e-Archivo
RD 20 may. 2024