On idiosyncratic stochasticity of financial leverage effects

DOI10.1016/J.SPL.2014.04.003MaRDI QIDQ2453988zbMATH OpenOpenAlexFDO

Authors Carles Bretó

Publication date 12 June 2014

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1312.5496, http://hdl.handle.net/10016/23480

zbMATH Keywords

maximum likelihood estimationnon-linear non-Gaussian state-space modelparticle filterrandom-walk time-varying parameterstochastic leverage

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

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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Cites work

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Cited in

(12)

• Adverse effects of leverage and short-selling constraints in a financial market model with heterogeneous agents
• The leverage effect puzzle revisited: identification in discrete time
• The tail empirical process for long memory stochastic volatility models with leverage
• Operating leverage
• A new method for testing leverage effect
• Leverage effect breakdowns and flight from risky assets
• Stochastic volatility and stochastic leverage
• scientific article; zbMATH DE number 1865385 (Why is no real title available?)
• Signal on the Margin: Behavior of Levered Investors and Future Economic Conditions*
• Bivariate models for time series of counts: a comparison study between PBINAR models and dynamic factor models
• Time-varying leverage effects
• Modeling and inference for infectious disease dynamics: a likelihood-based approach

Describes a project that uses

Uses Software

• pomp
• R

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