The price-leverage covariation as a measure of the response of the leverage effect to price and volatility changes
From MaRDI portal
Publication:6580717
DOI10.1002/ASMB.2672MaRDI QIDQ6580717
Publication date: 29 July 2024
Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)
Cites Work
- Title not available (Why is that?)
- Title not available (Why is that?)
- A Simple Test for Heteroscedasticity and Random Coefficient Variation
- Time-varying leverage effects
- Threshold bipower variation and the impact of jumps on volatility forecasting
- Mathematical methods for financial markets.
- Robustness of Fourier estimator of integrated volatility in the presence of microstructure noise
- Spurious regressions in econometrics
- A general version of the fundamental theorem of asset pricing
- Fourier series method for measurement of multivariate volatilities
- Rate-efficient asymptotic normality for the Fourier estimator of the leverage process
- A Fourier transform method for nonparametric estimation of multivariate volatility
- ARCH models as diffusion approximations
- Computation of volatility in stochastic volatility models with high frequency data
- Stochastic volatility models and the pricing of VIX options
- Fourier-Malliavin Volatility Estimation
- Distribution of the Estimators for Autoregressive Time Series With a Unit Root
- A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
- Robust Locally Weighted Regression and Smoothing Scatterplots
- Robust regression using iteratively reweighted least-squares
- Complete Models with Stochastic Volatility
- The Price-Volatility Feedback Rate: An Implementable Mathematical Indicator of Market Stability
- High-frequency volatility of volatility estimation free from spot volatility estimates
- 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
- Estimating the quadratic covariation matrix for asynchronously observed high frequency stock returns corrupted by additive measurement error
This page was built for publication: The price-leverage covariation as a measure of the response of the leverage effect to price and volatility changes
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6580717)