On idiosyncratic stochasticity of financial leverage effects Articles
- STATISTICS & PROBABILITY LETTERS Journal
- August 2014
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- 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.
- stochastic leverage; random-walk time-varying parameter; non-linear non-gaussian state-space model; maximum likelihood estimation; particle filter; volatility model; time-series