Correction to "Leverage and volatility feedback effects in high-frequency data" [J. Financial Econometrics 4 (2006) 353--384]
AbstractBollerslev et al. (2006) study the cross-covariances for squared returns under the Heston (1993) stochastic volatility model. In order to obtain these cross-covariances the authors use an incorrect expression for the distribution of the squared returns. Here we will obtain the correct distribution of the squared returns and check that, under this new distribution, the result in Appendix A.2 in Bollerslev et al. (2006) still holds.
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Bibliographic InfoPaper provided by arXiv.org in its series Papers with number 0902.0713.
Date of creation: Feb 2009
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