Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/244588 
Erscheinungsjahr: 
2021
Schriftenreihe/Nr.: 
Working Paper No. 14/2021
Verlag: 
Örebro University School of Business, Örebro
Zusammenfassung: 
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.
Schlagwörter: 
Dynamic leverage
GAS
stochastic volatility (SV)
JEL: 
C11
C52
C58
Dokumentart: 
Working Paper

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