A new method for testing leverage effect

DOI10.3969/J.ISSN.1001-4268.2019.05.002MaRDI QIDQ3307475zbMATH OpenFDO

Authors Hongxia Hao, Jinguan Lin, Hongxia Wang

Publication date 12 August 2020

Full work available at URL https://doi.org/10.3969/J.ISSN.1001-4268.2019.05.002

zbMATH Keywords

volatilityleverage effectKolmogorov-Smirnov testlocal polynomial regression

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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