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EnglishVast empirical evidence points to the existence of a negative correlation, named ’’leverage effect’’, between shocks to variance and shocks to returns. We provide a nonparametric theory of leverage estimation in the context of a continuous-time stochastic volatility model with jumps in returns, jumps in variance, or both. Leverage is defined as a flexible function of the state of the firm, as summarized by the spot variance level. We show that its point-wise functional estimates have asymptotic properties (in terms of rates of convergence, limiting biases, and limiting variances) which crucially depend on the likelihood of the individual jumps and co-jumps as well as on the features of the jump size distributions. Empirically, we find economically important time-variation in leverage with more negative values associated with higher variance levels.
Time-varying leverage effects / BANDI F; R. RENO'. - In: JOURNAL OF ECONOMETRICS. - ISSN 0304-4076. - 161:1(2012), pp. 94-113.
| Titolo: | Time-varying leverage effects |
| Autori: | |
| Data di pubblicazione: | 2012 |
| Rivista: | |
| Citazione: | Time-varying leverage effects / BANDI F; R. RENO'. - In: JOURNAL OF ECONOMETRICS. - ISSN 0304-4076. - 161:1(2012), pp. 94-113. |
| Abstract: | Vast empirical evidence points to the existence of a negative correlation, named ’’leverage effect’’, between shocks to variance and shocks to returns. We provide a nonparametric theory of leverage estimation in the context of a continuous-time stochastic volatility model with jumps in returns, jumps in variance, or both. Leverage is defined as a flexible function of the state of the firm, as summarized by the spot variance level. We show that its point-wise functional estimates have asymptotic properties (in terms of rates of convergence, limiting biases, and limiting variances) which crucially depend on the likelihood of the individual jumps and co-jumps as well as on the features of the jump size distributions. Empirically, we find economically important time-variation in leverage with more negative values associated with higher variance levels. |
| Handle: | http://hdl.handle.net/11562/927913 |
| Appare nelle tipologie: | 01.01 Articolo in Rivista |
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http://hdl.handle.net/11562/927913
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