On idiosyncratic stochasticity of financial leverage effects
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.
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Liesenfeld, Roman & Richard, Jean-Francois, 2003. "Univariate and multivariate stochastic volatility models: estimation and diagnostics," Journal of Empirical Finance, Elsevier, vol. 10(4), pages 505-531, September.
- Asai, M. & McAleer, M.J., 2010.
"Alternative Asymmetric Stochastic Volatility Models,"
Econometric Institute Research Papers
EI 2010-69, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Manabu Asai & Michael McAleer, 2011. "Alternative Asymmetric Stochastic Volatility Models," Econometric Reviews, Taylor & Francis Journals, vol. 30(5), pages 548-564, October.
- Manabu Asai & Michael McAleer, 2010. "Alternative Asymmetric Stochastic Volatility Models," KIER Working Papers 739, Kyoto University, Institute of Economic Research.
- Manabu Asai & Michael McAleer, 2010. "Alternative Asymmetric Stochastic Volatility Models," Working Papers in Economics 10/70, University of Canterbury, Department of Economics and Finance.
- Manabu Asai & Michael McAleer, 2009. "Alternative Asymmetric Stochastic Volatility Models," CARF F-Series CARF-F-166, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
- Manabu Asai & Michael McAleer, 2009. "Alternative Asymmetric Stochastic Volatility Models," CIRJE F-Series CIRJE-F-655, CIRJE, Faculty of Economics, University of Tokyo.
- White, Halbert, 1980. "A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity," Econometrica, Econometric Society, vol. 48(4), pages 817-838, May.
- Yu-Sheng Lai & Her-Jiun Sheu, 2011. "On the importance of asymmetries for dynamic hedging during the subprime crisis," Applied Financial Economics, Taylor & Francis Journals, vol. 21(11), pages 801-813.
- Yu, Jun, 2005.
"On leverage in a stochastic volatility model,"
Journal of Econometrics,
Elsevier, vol. 127(2), pages 165-178, August.
- Jun Yu, 2004. "On Leverage in a Stochastic Volatility Model," Working Papers 13-2004, Singapore Management University, School of Economics.
- Jun Yu, 2004. "On leverage in a stochastic volatility model," Econometric Society 2004 Far Eastern Meetings 497, Econometric Society.
- Jun Yu, 2004. "On Leverage in a Stochastic Volatility Model," Econometric Society 2004 Far Eastern Meetings 506, Econometric Society.
- Ulrich K. Müller & Philippe-Emmanuel. Petalas, 2010. "Efficient Estimation of the Parameter Path in Unstable Time Series Models," Review of Economic Studies, Oxford University Press, vol. 77(4), pages 1508-1539.
- Yu, Jun, 2012. "A semiparametric stochastic volatility model," Journal of Econometrics, Elsevier, vol. 167(2), pages 473-482.
- Harvey, Andrew C & Shephard, Neil, 1996. "Estimation of an Asymmetric Stochastic Volatility Model for Asset Returns," Journal of Business & Economic Statistics, American Statistical Association, vol. 14(4), pages 429-434, October.
- Almut Veraart & Luitgard Veraart, 2012. "Stochastic volatility and stochastic leverage," Annals of Finance, Springer, vol. 8(2), pages 205-233, May.
- Borus Jungbacker & Siem Jan Koopman, 2007. "Monte Carlo Estimation for Nonlinear Non-Gaussian State Space Models," Biometrika, Biometrika Trust, vol. 94(4), pages 827-839.
- Durbin, James & Koopman, Siem Jan, 2001.
"Time Series Analysis by State Space Methods,"
Oxford University Press, number 9780198523543, December.
- Tom Doan, "undated". "SEASONALDLM: RATS procedure to create the matrices for the seasonal component of a DLM," Statistical Software Components RTS00251, Boston College Department of Economics.
- Christophe Andrieu & Arnaud Doucet & Roman Holenstein, 2010. "Particle Markov chain Monte Carlo methods," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 72(3), pages 269-342.
When requesting a correction, please mention this item's handle: RePEc:arx:papers:1312.5496. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (arXiv administrators)
If references are entirely missing, you can add them using this form.