Estimation of Leverage Effect: Kernel Function and Efficiency
From MaRDI portal
Publication:6190703
DOI10.1080/07350015.2022.2097910OpenAlexW4283834140WikidataQ114100313 ScholiaQ114100313MaRDI QIDQ6190703
Publication date: 6 March 2024
Published in: Journal of Business & Economic Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/07350015.2022.2097910
Cites Work
- Unnamed Item
- Quarticity and other functionals of volatility: efficient estimation
- Time-varying leverage effects
- Integrated volatility and round-off error
- Large deviations and asymptotic methods in finance
- Estimation of integrated volatility of volatility with applications to goodness-of-fit testing
- Do price and volatility jump together?
- A central limit theorem for normalized functions of the increments of a diffusion process, in the presence of round-off errors
- Efficient estimation of integrated volatility functionals via multiscale jackknife
- A Hausman test for the presence of market microstructure noise in high frequency data
- Time-invariant restrictions of volatility functionals: efficient estimation and specification tests
- Nonparametric test for a constant beta between Itô semi-martingales based on high-frequency data
- Adaptive estimation of continuous-time regression models using high-frequency data
- Are volatility estimators robust with respect to modeling assumptions?
- Generalized Method of Integrated Moments for High-Frequency Data
- The Estimation of Leverage Effect With High-Frequency Data
- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
- Stock Price Distributions with Stochastic Volatility: An Analytic Approach
This page was built for publication: Estimation of Leverage Effect: Kernel Function and Efficiency
