Skewness and Leverage
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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The leverage effect has become an extensively studied phenomenon that describes the (usually) negative correlation between stock returns and volatility. All the previous studies have focused on the origin and properties of the leverage effect. Even though most studies of the leverage effect are based on cross-sectional calibration with parametric models, few of them have carefully studied its e...
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