On idiosyncratic stochasticity of financial leverage effects

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

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oai:CiteSeerX.psu:10.1.1.747.1051Last time updated on 10/30/2017

This paper was published in CiteSeerX.

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