A study about the existence of the leverage effect in stochastic volatility models
AbstractThe empirical relationship between the return of an asset and the volatility of the asset has been well documented in the financial literature. Named the leverage effect or sometimes risk-premium effect, it is observed in real data that, when the return of the asset decreases, the volatility increases and vice versa.
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Bibliographic InfoArticle provided by Elsevier in its journal Physica A: Statistical Mechanics and its Applications.
Volume (Year): 388 (2009)
Issue (Month): 4 ()
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Web page: http://www.journals.elsevier.com/physica-a-statistical-mechpplications/
Stochastic volatility; Modeling; Leverage effect; The Itô lemma;
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