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Cites work
- A multivariate central limit theorem for continuous local martingales
- Bayesian analysis of stochastic volatility models with fat-tails and correlated errors
- Fully Nonparametric Estimation of Scalar Diffusion Models
- scientific article; zbMATH DE number 822726 (Why is no real title available?)
- IDENTIFYING THE BROWNIAN COVARIATION FROM THE CO-JUMPS GIVEN DISCRETE OBSERVATIONS
- Inference for Continuous Semimartingales Observed at High Frequency
- LIMIT THEOREMS FOR BIPOWER VARIATION IN FINANCIAL ECONOMETRICS
- Non-parametric threshold estimation for models with stochastic diffusion coefficient and jumps
- On leverage in a stochastic volatility model
- On the functional estimation of jump-diffusion models.
- Power Variation and Time Change
- Testing for common arrivals of jumps for discretely observed multidimensional processes
- Threshold bipower variation and the impact of jumps on volatility forecasting
- Transform Analysis and Asset Pricing for Affine Jump-diffusions
Cited in
(44)- Leverage effect for volatility with generalized Laplace error
- The jump size distribution of the commodity spot price and its effect on futures and option prices
- Estimation of the discontinuous leverage effect: evidence from the NASDAQ order book
- Testing for jumps and jump intensity path dependence
- The impact of the leverage effect on the implied volatility smile: evidence for the German option market
- Smiles \& smirks: volatility and leverage by jumps
- Forecasting volatility with time-varying coefficient regressions
- The leverage effect puzzle revisited: identification in discrete time
- Horizon-unbiased investment with ambiguity
- Change point detection for nonparametric regression under strongly mixing process
- Higher-order small time asymptotic expansion of Itô semimartingale characteristic function with application to estimation of leverage from options
- Estimation of the stochastic leverage effect using the Fourier transform method
- Chasing volatility. A persistent multiplicative error model with jumps
- A non-linear dynamic model of the variance risk premium
- On idiosyncratic stochasticity of financial leverage effects
- A nonparametric test of a strong leverage hypothesis
- Outliers and misleading leverage effect in asymmetric GARCH-type models
- Impact of jumps on returns and realised variances: econometric analysis of time-deformed Lévy processes
- A discrete-time model for daily S\&P500 returns and realized variations: jumps and leverage effects
- A new method for testing leverage effect
- The leverage effect puzzle: the case of European sovereign credit default swap market
- NONPARAMETRIC STOCHASTIC VOLATILITY
- Regime-switching stochastic volatility model: estimation and calibration to VIX options
- Estimation and application of semiparametric stochastic volatility models based on kernel density estimation and hidden Markov models
- Leverage effect breakdowns and flight from risky assets
- Time-varying jump tails
- The estimation of leverage effect with high-frequency data
- Testing for non-correlation between price and volatility jumps
- Detecting volatility persistence in GARCH models in the presence of the leverage effect
- A threshold model for local volatility: evidence of leverage and mean reversion effects on historical data
- An estimator for the cumulative co‐volatility of asynchronously observed semimartingales with jumps
- The relationship between the volatility of returns and the number of jumps in financial markets
- More stylized facts of financial markets: leverage effect and downside correlations
- Uniform and L_p convergences for nonparametric continuous time regressions with semiparametric applications
- Asymmetry in stochastic volatility models with threshold and time-dependent correlation
- Estimation of Leverage Effect: Kernel Function and Efficiency
- The price-leverage covariation as a measure of the response of the leverage effect to price and volatility changes
- Statistical inference for rough volatility: central limit theorems
- The Leverage Effect Puzzle under Semi-nonparametric Stochastic Volatility Models
- Statistical inference for GQARCH-Itô-jumps model based on the realized range volatility
- Marketron games: self-propelling stocks vs dumb money and metastable dynamics of the good, bad and ugly markets
- Cross-sectional dependence in idiosyncratic volatility
- Identifying the volatility risk price through the leverage effect
- A semiparametric stochastic volatility model
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