Cover of The leverage effect puzzle

Mark as

The leverage effect puzzle

by Yacine Aït-Sahalia

"The leverage effect refers to the generally negative correlation between an asset return and its changes of volatility. A natural estimate consists in using the empirical correlation between the daily returns and the changes of daily volatility estimated from high-frequency data. The puzzle lies in the fact that such an intuitively natural estimate yields nearly zero correlation for most assets tested, despite the many economic reasons for expecting the estimated correlation to be negative. To better understand the sources of the puzzle, we analyze the different asymptotic biases that...

Buy this book Review

More by Yacine Aït-Sahalia

Cover of Closed-form likelihood expansions for multivariate diffusions

Cover of Dynamic equilibrium and volatility in financial asset markets

Cover of Handbook of financial econometrics

Cover of Handbook of financial econometrics

Cover of Handbook of financial econometrics tools and techniques

Cover of Handbook of financial econometrics tools and techniques

Cover of High-Frequency Financial Econometrics

Cover of Luxury goods and the equity premium

Cover of Nonparametric estimation of state-price densities implicit in financial asset prices

Cover of Nonparametric option pricing under shape restrictions

Cover of Nonparametric pricing of interest rate derivative securities

Cover of Nonparametric risk management and implied risk aversion

Cover of Telling from discrete data whether the underlying continuous-time model is a diffusion

Cover of Testing continuous-time models of the spot interest rate

Cover of Variable selection for portfolio choice

Recent activity

Rate this book to see your activity here.

Comments and reviews

Please sign in to leave a comment