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- W2091224911 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." @default.
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- W2091224911 date "2014-08-01" @default.
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- W2091224911 title "On idiosyncratic stochasticity of financial leverage effects" @default.
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- W2091224911 doi "https://doi.org/10.1016/j.spl.2014.04.003" @default.
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