Estimation of the stochastic leverage effect using the Fourier transform method
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DOI: 10.1016/j.spa.2018.09.001
Abstract: We define a non-parametric estimator of the leverage effect by means of the covariance between the asset return and its volatility. The data are assumed to follow a stochastic volatility model driven by two continuous… read more here.
Keywords: effect using; leverage effect; stochastic leverage; leverage ... See more keywords