IDEAS home Printed from https://ideas.repec.org/p/arx/papers/0902.0713.html
   My bibliography  Save this paper

Correction to "Leverage and volatility feedback effects in high-frequency data" [J. Financial Econometrics 4 (2006) 353--384]

Author

Listed:
  • Amparo Baillo

Abstract

Bollerslev 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.

Suggested Citation

  • Amparo Baillo, 2009. "Correction to "Leverage and volatility feedback effects in high-frequency data" [J. Financial Econometrics 4 (2006) 353--384]," Papers 0902.0713, arXiv.org.
    • Handle: RePEc:arx:papers:0902.0713
    as

    Download full text from publisher

    File URL: http://arxiv.org/pdf/0902.0713
    File Function: Latest version
    Download Restriction: no
    ---><---

    More about this item

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:arx:papers:0902.0713. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: arXiv administrators (email available below). General contact details of provider: http://arxiv.org/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.