The leverage effect puzzle revisited: identification in discrete time

DOI10.1016/J.JECONOM.2019.12.003MaRDI QIDQ2190223zbMATH OpenOpenAlexWikidataFDO

Authors Hyojin Han, Stanislav Khrapov, Eric Renault

Publication date 18 June 2020

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

Full work available at URL http://wrap.warwick.ac.uk/128359/1/WRAP-leverage-e%EF%AC%80ect-puzzle-revisited-identi%EF%AC%81cation-discrete-time-Renault-2019.pdf

zbMATH Keywords

affine pricing modelsidentificationleverage effectstochastic volatilityvolatility risk premium

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites work

• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• A Note on Hedging in ARCH and Stochastic Volatility Option Pricing Models
• A theory of the term structure of interest rates
• Contingent claims and market completeness in a stochastic volatility model.
• Efficient derivative pricing by the extended method of moments
• Efficient estimation of general dynamic models with a continuum of moment conditions
• Empirical assessment of an intertemporal option pricing model with latent variables.
• Generalization of GMM to a continuum of moment conditions
• Inference for Continuous Semimartingales Observed at High Frequency
• Maximization by parts in extremum estimation
• OPTION HEDGING AND IMPLIED VOLATILITIES IN A STOCHASTIC VOLATILITY MODEL
• Structural Laplace Transform and Compound Autoregressive Models
• Temporal aggregation of volatility models
• THE GARCH OPTION PRICING MODEL
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• Two singular diffusion problems

Cited in

(10)

• The impact of the leverage effect on the implied volatility smile: evidence for the German option market
• Editorial: Nonlinear financial econometrics JoE special issue introduction
• On idiosyncratic stochasticity of financial leverage effects
• The leverage effect puzzle: the case of European sovereign credit default swap market
• Time-varying leverage effects
• A threshold model for local volatility: evidence of leverage and mean reversion effects on historical data
• Econometric Reviews Honors Peter Charles Bonest Phillips, the Master Econometrician
• A Stochastic Volatility Model With a General Leverage Specification
• Statistical inference for GQARCH-Itô-jumps model based on the realized range volatility
• Identifying the volatility risk price through the leverage effect

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