Computational Economics

, Volume 53, Issue 3, pp 1153–1164 | Cite as

Bayesian Testing for Leverage Effect in Stochastic Volatility Models

  • Jin-Yu Zhang
  • Zhong-Tian Chen
  • Yong LiEmail author


Stochastic volatility models have been widely appreciated to model the time-varying volatility in empirical finance. In practice, whether or not there is leverage effect in asset time series is one of important stylized facts. In this paper, in the context of the stochastic volatility models, the main purpose is to develop a Bayesian approach for testing the leverage effect. The performance of the developed procedure is illustrated by the simulation studies and two empirical examples.


Bayes factor \(\chi ^2\) test Leverage effect Markov chain Monte Carlo (MCMC) Stochastic volatility models 

JEL Classification

C11 C12 G12 


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Copyright information

© Springer Science+Business Media, LLC, part of Springer Nature 2018

Authors and Affiliations

  1. 1.Software Institute, Nanjing UniversityNanjingPeople’s Republic of China
  2. 2.Department of Economics, Duke UniversityDurhamUSA
  3. 3.Hanqing Advanced Institute of Economics and FinanceRenmin University of ChinaBeijingPeople’s Republic of China

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