On idiosyncratic stochasticity of financial leverage effects
AbstractWe 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.
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Bibliographic InfoPaper provided by arXiv.org in its series Papers with number 1312.5496.
Date of creation: Dec 2013
Date of revision:
Publication status: Published in Statistics & Probability Letters 91 (2014) 20-26
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Web page: http://arxiv.org/
This paper has been announced in the following NEP Reports:
- NEP-ALL-2013-12-29 (All new papers)
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