The stochastic leverage effect, defined as the standardized covariation between the returns and their related volatility, is analyzed in a stochastic volatility model set-up. A novel estimator of the effect is defined using a pre-estimation of the Fourier coefficients of the return and the volatility processes. The consistency of the estimator is proven. Moreover, its finite sample properties are studied in the presence of microstructure noise effects. The Fourier methodology is applied to S&P500 futures prices to investigate the magnitude of the stochastic leverage effect detectable at high-frequency.

Stochastic leverage effect in high-frequency data: a Fourier based analysis / Valentina Curato, Imma; Sanfelici, Simona. - In: ECONOMETRICS AND STATISTICS. - ISSN 2452-3062. - (2021), pp. 1-30. [10.1016/j.ecosta.2021.03.001]

Stochastic leverage effect in high-frequency data: a Fourier based analysis

Simona Sanfelici
2021

Abstract

The stochastic leverage effect, defined as the standardized covariation between the returns and their related volatility, is analyzed in a stochastic volatility model set-up. A novel estimator of the effect is defined using a pre-estimation of the Fourier coefficients of the return and the volatility processes. The consistency of the estimator is proven. Moreover, its finite sample properties are studied in the presence of microstructure noise effects. The Fourier methodology is applied to S&P500 futures prices to investigate the magnitude of the stochastic leverage effect detectable at high-frequency.
Stochastic leverage effect in high-frequency data: a Fourier based analysis / Valentina Curato, Imma; Sanfelici, Simona. - In: ECONOMETRICS AND STATISTICS. - ISSN 2452-3062. - (2021), pp. 1-30. [10.1016/j.ecosta.2021.03.001]
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11381/2902298
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