On idiosyncratic stochasticity of financial leverage effects
General Finance
2018-01-16 v1 Applications
Computation
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.
Keywords
Cite
@article{arxiv.1312.5496,
title = {On idiosyncratic stochasticity of financial leverage effects},
author = {Carles Bretó},
journal= {arXiv preprint arXiv:1312.5496},
year = {2018}
}
Comments
8 pages, 2 figures