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arxiv: 1312.5496 · v1 · pith:4PCCFAQOnew · submitted 2013-12-19 · 💱 q-fin.GN · stat.AP· stat.CO

On idiosyncratic stochasticity of financial leverage effects

classification 💱 q-fin.GN stat.APstat.CO
keywords leveragealgorithmcontributingdatadevelopedeffectsempiricalevidence
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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.

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