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Empirical evidence of the leverage effect in a stochastic volatility model : a realized volatility approach

Xu, Dinghai; Li, Yuying - 2010

Persistent link: https://www.econbiz.de/10003975439

Empirical evidence of the leverage effect in a stochastic volatility model : a realized volatility approach

Xu, Dinghai; Li, Yuying - In: Frontiers of economics in China : selected publications … 7 (2012) 1, pp. 22-43

Persistent link: https://www.econbiz.de/10009681371

Select Empirical Evidence of the Leverage Effect in a Stochastic Volatility Model: A Realized Volatility Approach

Xu, Dinghai; Li, Yuying - In: Frontiers of Economics in China 7 (2012) 1, pp. 22-43

Increasing attention has been focused on the analysis of the realized volatility, which can be treated as a proxy for the true volatility. In this paper, we study the potential use of the realized volatility as a proxy in a stochastic volatility model estimation. We estimate the leveraged...

Persistent link: https://www.econbiz.de/10010888551

Empirical Evidence of the Leverage Effect in a Stochastic Volatility Model: A Realized Volatility Approach

Xu, Dinghai; Li, Yuying - Department of Economics, University of Waterloo - 2010

Persistent link: https://www.econbiz.de/10008568545