Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1152622 | Statistics & Probability Letters | 2014 | 7 Pages |
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.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Carles Bretó,