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Leverage, skewness and amplitude asymmetric cycles

  • Artiach, Miguel

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.

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File URL: http://mpra.ub.uni-muenchen.de/41267/1/MPRA_paper_41267.pdf
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Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 41267.

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Date of creation: 07 Jun 2012
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Handle: RePEc:pra:mprapa:41267
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  1. repec:ebl:ecbull:v:3:y:2008:i:29:p:1-10 is not listed on IDEAS
  2. Yu, Jun, 2005. "On leverage in a stochastic volatility model," Journal of Econometrics, Elsevier, vol. 127(2), pages 165-178, August.
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  15. Paolo Zaffaroni, 2003. "Gaussian inference on certain long-range dependent volatility models," Temi di discussione (Economic working papers) 472, Bank of Italy, Economic Research and International Relations Area.
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  17. Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, vol. 50(4), pages 1029-54, July.
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