Fourier estimation of stochastic leverage using high frequency data
AbstractIn this paper, we define a new estimator of the leverage stochastic process based only on a pre-estimation of the Fourier coefficients of the volatility process. This feature constitutes a novelty in comparison with the leverage estimators proposed in the literature generally based on a pre-estimation of the spot volatility. Our estimator is proved to be consistent and in virtue of its definition it can be directly applied to estimate the leverage effect in case of irregular trading observations of the price path and microstructure noise contaminations.
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Bibliographic InfoPaper provided by Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa in its series Working Papers - Mathematical Economics with number 2013-04.
Length: 19 pages
Date of creation: Jun 2013
Date of revision:
leverage; non-parametric estimation; semi-martingale; Fourier transform; high frequency data.;
This paper has been announced in the following NEP Reports:
- NEP-ALL-2013-06-16 (All new papers)
- NEP-ECM-2013-06-16 (Econometrics)
- NEP-ETS-2013-06-16 (Econometric Time Series)
- NEP-MST-2013-06-16 (Market Microstructure)
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