Nonparametric estimation of the leverage effect : a trade-off between robustness and efficiency
Ilze Kalnina (Université de Montréal), Dacheng Xiu (Chicago Booth)
| Year of publication: |
November 22, 2015
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| Authors: | Kalnina, Ilze ; Xiu, Dacheng |
| Publisher: |
Montréal : Département de Sciences Economiques, Université de Montréal |
| Subject: | derivatives | VIX | implied volatility | high frequency data | spot correlation | Volatilität | Volatility | Nichtparametrisches Verfahren | Nonparametric statistics | Derivat | Derivative | Börsenkurs | Share price | Korrelation | Correlation | ARCH-Modell | ARCH model |
| Extent: | 1 Online-Ressource (62 Seiten) Illustrationen |
|---|---|
| Series: | Cahier / Départment de Sciences Économiques, Université de Montréal. - Montréal : [Verlag nicht ermittelbar], ZDB-ID 2137610-4. - Vol. 2015-05 |
| Type of publication: | Book / Working Paper |
| Type of publication (narrower categories): | Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature |
| Language: | English |
| Other identifiers: | hdl:1866/12853 [Handle] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011419309