In this paper we propose a sequential Monte Carlo algorithm to estimate a stochastic volatility model with leverage effect. Our idea relies on the auxiliary particle filter method that allows to sequentially evaluate the parameters and the latent processes involved in the dynamic. An empirical application on simulated data is presented to study some empirical properties of the algorithm impleme...

We present novel minibatch stochastic optimization methods for empirical risk minimization problems, the methods efficiently leverage variance reduced first-order and sub-sampled higherorder information to accelerate the convergence speed. For quadratic objectives, we prove improved iteration complexity over state-of-the-art under reasonable assumptions. We also provide empirical evidence of th...

The presence of clusters in a data set is sometimes due to the existence of certain relations among the measured variables which vary depending on some hidden factors. In these cases, observations could be grouped in a natural way around linear and nonlinear structures and, thus, the problem of doing robust clustering around linear affine subspaces has recently been tackled through the minimiza...

The paper shows that, as owners accumulate larger stakes and hence become less risk-tolerant, their incentives to monitor management are attenuated because monitoring shifts some of the firm’s risk from management to owners. This counterbalances the positive effect which more concentrated ownership has on monitoring via reduced free rider problems. Moreover, the paper shows how the opportunity ...

Two separate strands of the literature on capital structure under asymmetric information consider the relationship between a firm's financial leverage and cash flow. Signalling theory suggests a positive relationship, while pecking order behavior implies a negative relationship. These contrasting theoretical implications appear contradictory. However, both are supported in different bodies of e...

In this communication we have proposed a simple model for the dynamics of the target leverage ratio of a rm and performed a theoretical investigation of its time path. The gap between a rm’s current target leverage ratio and the long-term target ratio is found to diminish exponentially, and the decay rate is determined by the volatility of the leverage ratio and the long-term target ratio only....