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The reactive volatility model

Author

Listed:
  • Sébastien Valeyre
  • Denis S Grebenkov

    (X - École polytechnique)

  • Sofiane Aboura

    (DRM - Dauphine Recherches en Management - Université Paris Dauphine-PSL - PSL - Université Paris Sciences et Lettres - CNRS - Centre National de la Recherche Scientifique)

  • Qian Liu

Abstract

The article focuses on the leverage effect modeling as a form of stochastic processes through the volatility model. It states that leverage effect is characterized by a subsequent stock price dropping and increase in volatility. It mentions that the first model that describes the volatility and price relations known as Constant Elasticity of Variance Model (CEV) was developed by Cox.

Suggested Citation

  • Sébastien Valeyre & Denis S Grebenkov & Sofiane Aboura & Qian Liu, 2013. "The reactive volatility model," Post-Print hal-01531278, HAL.
    • Handle: RePEc:hal:journl:hal-01531278
    DOI: 10.1080/14697688.2013.797594
    as

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    Citations

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    Cited by:

    1. Sebastien Valeyre & Sofiane Aboura & Denis Grebenkov, 2019. "The Reactive Beta Model," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 42(1), pages 71-113, March.
    2. Sebastien Valeyre, 2020. "Refined model of the covariance/correlation matrix between securities," Papers 2001.08911, arXiv.org.
    3. Sebastien Valeyre, 2022. "Optimal trend following portfolios," Papers 2201.06635, arXiv.org.
    4. Sebastien Valeyre & Denis Grebenkov & Sofiane Aboura & Francois Bonnin, 2016. "Should employers pay their employees better? An asset pricing approach," Papers 1602.00931, arXiv.org, revised Oct 2016.

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