Time-varying leverage effects

DOI10.1016/J.JECONOM.2012.01.010MaRDI QIDQ527980zbMATH OpenOpenAlexFDO

Authors Roberto Renò, Federico M. Bandi

Publication date 12 May 2017

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

Full work available at URL http://www.sciencedirect.com/science/article/pii/S0304407612000115

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Markov processes: estimation; hidden Markov models (62M05) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Recommendations

• Estimation of the discontinuous leverage effect: evidence from the NASDAQ order book
• On idiosyncratic stochasticity of financial leverage effects
• The leverage effect puzzle revisited: identification in discrete time
• The estimation of leverage effect with high-frequency data
• A semiparametric stochastic volatility model

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

This page was built for publication: Time-varying leverage effects

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q527980)