Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/244588 
Year of Publication: 
2021
Series/Report no.: 
Working Paper No. 14/2021
Publisher: 
Örebro University School of Business, Örebro
Abstract: 
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.
Subjects: 
Dynamic leverage
GAS
stochastic volatility (SV)
JEL: 
C11
C52
C58
Document Type: 
Working Paper

Files in This Item:
File
Size
789.28 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.