The Estimation of Leverage Effect With High-Frequency Data
نویسندگان
چکیده
منابع مشابه
The Estimation of Leverage effect with High Frequency Data
The leverage effect has become an extensively studied phenomenon which describes the (usually) negative relation between stock returns and their volatility. Although this characteristic of stock returns is well acknowledged, most studies of the phenomenon are based on cross-sectional calibration with parametric models. On the statistical side, most previous works are conducted over daily or lon...
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ژورنال
عنوان ژورنال: Journal of the American Statistical Association
سال: 2014
ISSN: 0162-1459,1537-274X
DOI: 10.1080/01621459.2013.864189