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- W3204692962 abstract "Stock returns are considered as a convolution of two random processes that are the return innovation and 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 find that the leverage effect is reinforced in the market downturn period and weakened in the market upturn period." @default.
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- W3204692962 date "2021-09-30" @default.
- W3204692962 modified "2023-10-15" @default.
- W3204692962 title "A dynamic leverage stochastic volatility model" @default.
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- W3204692962 doi "https://doi.org/10.1080/13504851.2021.1983127" @default.
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