Estimation of the Continuous and Discontinuous Leverage Effects
| Autor: | Yacine Ait-Sahalia, Xiye Yang, Christina Dan Wang, Roger J. A. Laeven, Jianqing Fan |
|---|---|
| Přispěvatelé: | Faculteit Economie en Bedrijfskunde, Actuarial Science & Mathematical Finance (ASE, FEB) |
| Jazyk: | angličtina |
| Rok vydání: | 2017 |
| Předmět: |
Statistics and Probability
050208 finance Computer science 05 social sciences Monte Carlo method Leverage effect Estimator Market microstructure Asset return 01 natural sciences Article 010104 statistics & probability 0502 economics and business Econometrics Leverage (statistics) 0101 mathematics Statistics Probability and Uncertainty Volatility (finance) |
| Zdroj: | Journal of the American Statistical Association, 112(520), 1744-1758. Taylor and Francis Ltd. |
| ISSN: | 0162-1459 |
| Popis: | This article examines the leverage effect, or the generally negative covariation between asset returns and their changes in volatility, under a general setup that allows the log-price and volatility processes to be Ito semimartingales. We decompose the leverage effect into continuous and discontinuous parts and develop statistical methods to estimate them. We establish the asymptotic properties of these estimators. We also extend our methods and results (for the continuous leverage) to the situation where there is market microstructure noise in the observed returns. We show in Monte Carlo simulations that our estimators have good finite sample performance. When applying our methods to real data, our empirical results provide convincing evidence of the presence of the two leverage effects, especially the discontinuous one. Supplementary materials for this article are available online. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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