Articles with "leverage effect" as a keyword



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Estimation of the stochastic leverage effect using the Fourier transform method

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Published in 2019 at "Stochastic Processes and their Applications"

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