Stochastic volatility and leverage: Application to a panel of S&P500 stocks

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dc.authoridOzturk, Serda Selin/0000-0003-2758-9321
dc.contributor.authorOzturk, Serda Selin
dc.contributor.authorRichard, Jean-Francois
dc.date.accessioned2024-07-18T20:42:38Z
dc.date.available2024-07-18T20:42:38Z
dc.date.issued2015
dc.departmentİstanbul Bilgi Üniversitesien_US
dc.description.abstractWe estimate stochastic volatility leverage models for a panel of stock returns for 24 S&P 500 firms from six industries. News are measured as differences between daily return and a monthly moving average of past returns. We estimate the models by maximum likelihood using an Efficient Importance Sampling method which produces numerically highly accurate estimates of the likelihood and related test-statistics. We find significant leverage effects for all 24 stocks. These effects are fairly consistent within each industry but there are significant differences across two groups of industries. Our models produce significant improvement in volatility predictability. (C) 2014 Elsevier Inc. All rights reserved.en_US
dc.identifier.doi10.1016/j.frl.2014.11.006
dc.identifier.endpage76en_US
dc.identifier.issn1544-6123
dc.identifier.issn1544-6131
dc.identifier.scopus2-s2.0-84922850414en_US
dc.identifier.scopusqualityQ1en_US
dc.identifier.startpage67en_US
dc.identifier.urihttps://doi.org/10.1016/j.frl.2014.11.006
dc.identifier.urihttps://hdl.handle.net/11411/7369
dc.identifier.volume12en_US
dc.identifier.wosWOS:000349511700009en_US
dc.identifier.wosqualityQ4en_US
dc.indekslendigikaynakWeb of Scienceen_US
dc.indekslendigikaynakScopusen_US
dc.language.isoenen_US
dc.publisherAcademic Press Inc Elsevier Scienceen_US
dc.relation.ispartofFinance Research Lettersen_US
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanıen_US
dc.rightsinfo:eu-repo/semantics/closedAccessen_US
dc.subjectStochastic Volatilityen_US
dc.subjectLeverageen_US
dc.subjectImportance Samplingen_US
dc.subjectBayesian-Analysisen_US
dc.subjectBehavioren_US
dc.subjectModelsen_US
dc.titleStochastic volatility and leverage: Application to a panel of S&P500 stocksen_US
dc.typeArticleen_US

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