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A study about the existence of the leverage effect in stochastic volatility models

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  • Florescu, Ionuţ
  • Pãsãricã, Cristian Gabriel

Abstract

The 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.

Suggested Citation

  • Florescu, Ionuţ & Pãsãricã, Cristian Gabriel, 2009. "A study about the existence of the leverage effect in stochastic volatility models," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(4), pages 419-432.
  • Handle: RePEc:eee:phsmap:v:388:y:2009:i:4:p:419-432
    DOI: 10.1016/j.physa.2008.10.012
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    References listed on IDEAS

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    Cited by:

    1. Kanniainen, Juho & Piché, Robert, 2013. "Stock price dynamics and option valuations under volatility feedback effect," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(4), pages 722-740.
    2. Wei, Yu, 2012. "Forecasting volatility of fuel oil futures in China: GARCH-type, SV or realized volatility models?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(22), pages 5546-5556.

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