Identifying the volatility risk price through the leverage effect

DOI10.1016/J.JECONOM.2024.105943MaRDI QIDQ7011692zbMATH OpenFDO

Authors Xu Cheng, Eric Renault, Paul Sangrey

Publication date 18 March 2025

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/J.JECONOM.2024.105943

zbMATH Keywords

leverage effectnonparametric identificationstochastic volatilityvolatility factorvolatility risk priceweak identification

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites work

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