Estimation of the stochastic leverage effect using the Fourier transform method
Sign Up to like & getrecommendations! 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
Semiparametric Estimation and Application of Realized GARCH Model with Time-Varying Leverage Effect
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DOI: 10.3390/math13091506
Abstract: To describe the stylized features of volatility comprehensively, this paper embeds the time-varying leverage effect of volatility into the Realized Generalized AutoRegressive Conditional Heteroskedasticity (RG) model and proposes a new volatility model with a time-varying… read more here.
Keywords: leverage effect; model; time varying; varying leverage ... See more keywords