Fourier estimation of stochastic leverage using high frequency data
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More about this item
Keywordsleverage; non-parametric estimation; semi-martingale; Fourier transform; high frequency data.;
NEP fieldsThis 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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