Bretó, Carles2016-08-262016-08-262014-08Bretó, C. On idiosyncratic stochasticity of financial leverage effects, Statistics & Probability Letters, August 2014, v. 91, pp. 20-260167-7152https://hdl.handle.net/10016/23480We 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.application/pdfeng© ElsevierAtribución-NoComercial-SinDerivadas 3.0 EspañaStochastic leverageRandom-walk time-varying parameterNon-linear non-Gaussian state-space modelMaximum likelihood estimationParticle filterresearch articleEconomíahttp://dx.doi.or/10.1016/j.spl.2014.04.003open access2026Statistics and probability letters91AR/0000015308