On idiosyncratic stochasticity of financial leverage effects

Carles Bretó
2014 Statistics and Probability Letters  
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.
doi:10.1016/j.spl.2014.04.003 fatcat:htfomdc24vfvblrof4wav5ykza