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On idiosyncratic stochasticity of financial leverage effects

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  • Bretó, Carles

Abstract

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.

Suggested Citation

  • Bretó, Carles, 2014. "On idiosyncratic stochasticity of financial leverage effects," Statistics & Probability Letters, Elsevier, vol. 91(C), pages 20-26.
  • Handle: RePEc:eee:stapro:v:91:y:2014:i:c:p:20-26
    DOI: 10.1016/j.spl.2014.04.003
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    References listed on IDEAS

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