On idiosyncratic stochasticity of financial leverage effects
classification
💱 q-fin.GN
stat.APstat.CO
keywords
leveragealgorithmcontributingdatadevelopedeffectsempiricalevidence
read the original 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.
This paper has not been read by Pith yet.
discussion (0)
Sign in with ORCID, Apple, or X to comment. Anyone can read and Pith papers without signing in.