Arbeitspapier
A dynamic leverage stochastic volatility model
Stock returns are considered as a convolution of two random processes that are the return innovation and the volatility innovation. The correlation of these two processes tends to be negative which is the so-called leverage effect. In this study, we propose a dynamic leverage stochastic volatility (DLSV) model where the correlation structure between the return innovation and the volatility innovation is assumed to follow a generalized autoregressive score (GAS) process. We founnd that the leverage effect is reinforced in the market downturn period and weakened in the market upturn period.
- Sprache
-
Englisch
- Erschienen in
-
Series: Working Paper ; No. 14/2021
- Klassifikation
-
Wirtschaft
Bayesian Analysis: General
Model Evaluation, Validation, and Selection
Financial Econometrics
- Thema
-
Dynamic leverage
GAS
stochastic volatility (SV)
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Nguyen, Hoang
Nguyen, Trong-Nghia
Tran, Minh-Ngoc
- Ereignis
-
Veröffentlichung
- (wer)
-
Örebro University School of Business
- (wo)
-
Örebro
- (wann)
-
2021
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Nguyen, Hoang
- Nguyen, Trong-Nghia
- Tran, Minh-Ngoc
- Örebro University School of Business
Entstanden
- 2021
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