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.
- Language
-
Englisch
- Bibliographic citation
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Series: Working Paper ; No. 14/2021
- Classification
-
Wirtschaft
Bayesian Analysis: General
Model Evaluation, Validation, and Selection
Financial Econometrics
- Subject
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Dynamic leverage
GAS
stochastic volatility (SV)
- Event
-
Geistige Schöpfung
- (who)
-
Nguyen, Hoang
Nguyen, Trong-Nghia
Tran, Minh-Ngoc
- Event
-
Veröffentlichung
- (who)
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Örebro University School of Business
- (where)
-
Örebro
- (when)
-
2021
- Handle
- Last update
-
10.03.2025, 11:43 AM CET
Data provider
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ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Nguyen, Hoang
- Nguyen, Trong-Nghia
- Tran, Minh-Ngoc
- Örebro University School of Business
Time of origin
- 2021
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