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Leverage, skewness and amplitude asymmetric cycles

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  • Artiach, Miguel

Abstract

The leverage parameter is shown to turn up as part of the third-order moment when a stochastic volatility process is linearly filtered. If the filter is of the autoregressive class and possesses complex-valued roots or is a Gegenbauer long-memory filter, the leverage effect plays a determinant role in producing Amplitude Asymmetric Cycles, in which the degree of asymmetry depends on the persistence of the process at both levels (conditional mean and variance), the variance of the shocks to the volatility and the value of their inter-temporal correlation with the shocks to the levels.

Suggested Citation

  • Artiach, Miguel, 2012. "Leverage, skewness and amplitude asymmetric cycles," MPRA Paper 41267, University Library of Munich, Germany.
  • Handle: RePEc:pra:mprapa:41267
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    File URL: https://mpra.ub.uni-muenchen.de/41267/1/MPRA_paper_41267.pdf
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    References listed on IDEAS

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    More about this item

    Keywords

    Leverage; stochastic volatility; skewness; amplitude asymmetric cycles;

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications

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