Article ID Journal Published Year Pages File Type
1152622 Statistics & Probability Letters 2014 7 Pages PDF
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
,