drift in the regressor is dominant. A limit theory for the modified REML test is given under a localized drift specification …

the total volatility function in a continuous-time jump diffusion model. …

A recent literature shows how an increase in volatility reduces leverage. However, in order to explain pro …-cyclical leverage it assumes that bad news increases volatility, that is, it assumes an inverse relationship between first and second … volatility. We show that, in a model with endogenous leverage and heterogeneous beliefs, agents have the incentive to invest …

A recent literature shows how an increase in volatility reduces leverage. However, in order to explain pro …-cyclical leverage it assumes that bad news increases volatility, that is, it assumes an inverse relationship between first and second … volatility. We show that, in a model with endogenous leverage and heterogeneous beliefs, agents have the incentive to invest …

asset to the riskless rate of interest. Finally, our Binomial Leverage-Volatility theorem provides a precise link between … leverage and volatility. …

This paper studies large and moderate deviation properties of a realized volatility statistic of high frequency … financial data. We establish a large deviation principle for the realized volatility when the number of high frequency … of the realized volatility. We also derive a moderate deviation rate function for a standardized realized volatility …