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Journal of the American Statistical Association Volume 109, 2014 - Issue 505
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Theory and Methods

The Estimation of Leverage Effect With High-Frequency Data

Christina D. Wang
&
Per A. Mykland
Pages 197-215 | Received 01 Sep 2011, Published online: 19 Mar 2014

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Dachuan Chen, Chenxu Li, Cheng Yong Tang & Jun Yan. (2024) The Leverage Effect Puzzle under Semi-nonparametric Stochastic Volatility Models. Journal of Business & Economic Statistics 42:2, pages 548-562.
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Xiye Yang. (2023) Estimation of Leverage Effect: Kernel Function and Efficiency. Journal of Business & Economic Statistics 41:3, pages 939-956.
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Yoann Potiron & Per Mykland. (2020) Local Parametric Estimation in High Frequency Data. Journal of Business & Economic Statistics 38:3, pages 679-692.
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Sujay Mukhoti & Pritam Ranjan. (2019) A new class of discrete-time stochastic volatility model with correlated errors. Applied Economics 51:3, pages 259-277.
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Yacine Aït-Sahalia, Jianqing Fan, Roger J. A. Laeven, Christina Dan Wang & Xiye Yang. (2017) Estimation of the Continuous and Discontinuous Leverage Effects. Journal of the American Statistical Association 112:520, pages 1744-1758.
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Ilze Kalnina & Dacheng Xiu. (2017) Nonparametric Estimation of the Leverage Effect: A Trade-Off Between Robustness and Efficiency. Journal of the American Statistical Association 112:517, pages 384-396.
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Carsten H. Chong & Viktor Todorov. (2024) Volatility of volatility and leverage effect from options. Journal of Econometrics 240:1, pages 105669.
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Jin Yu Fu, Jin Guan Lin, Guangying Liu & Hong Xia Hao. (2023) Statistical inference for GQARCH‐Itô‐jumps model based on the realized range volatility. Journal of Time Series Analysis.
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Tim Bollerslev & Viktor Todorov. (2023) The jump leverage risk premium. Journal of Financial Economics 150:3, pages 103723.
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Dachuan Chen, Yanping Li & Christina Dan Wang. (2023) Estimating Leverage Effect and Volatility of Volatility in the Presence of Jumps, Microstructure Noise and Irregular Observation Times. SSRN Electronic Journal.
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Federico M. Bandi, Nicola Fusari & Roberto Renò. (2023) 0DTE Option Pricing. SSRN Electronic Journal.
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Guangying Liu, Meiyao Liu & Jinguan Lin. (2021) Testing the volatility jumps based on the high frequency data. Journal of Time Series Analysis 43:5, pages 669-694.
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Emil A. Stoltenberg, Per A. Mykland & Lan Zhang. (2022) A CLT for second difference estimators with an application to volatility and intensity. The Annals of Statistics 50:4.
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Yingying Li, Guangying Liu & Zhiyuan Zhang. (2022) Volatility of volatility: Estimation and tests based on noisy high frequency data with jumps. Journal of Econometrics 229:2, pages 422-451.
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Zhi Liu. (2022) Testing for the Presence of the Leverage Effect without Estimation. Mathematics 10:14, pages 2511.
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Jing-Zhi Huang, Jun Ni & Li Xu. (2022) Leverage effect in cryptocurrency markets. Pacific-Basin Finance Journal 73, pages 101773.
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Guanglian Hu, Kris Jacobs & Sang Byung Seo. (2022) Characterizing the Variance Risk Premium: The Role of the Leverage Effect. The Review of Asset Pricing Studies 12:2, pages 500-542.
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Huiling Yuan, Yulei Sun, Lu Xu, Yong Zhou & Xiangyu Cui. (2021) A new volatility model: GQARCH‐ItÔ model. Journal of Time Series Analysis 43:3, pages 345-370.
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Giacomo Toscano. (2022) The price‐leverage covariation as a measure of the response of the leverage effect to price and volatility changes. Applied Stochastic Models in Business and Industry 38:3, pages 497-511.
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Qiang Liu, Zhi Liu & Chuanhai Zhang. (2022) Heteroscedasticity test of high‐frequency data with jumps and market microstructure noise. Applied Stochastic Models in Business and Industry 38:3, pages 441-457.
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Viktor Todorov. (2021) Higher-order small time asymptotic expansion of Itô semimartingale characteristic function with application to estimation of leverage from options. Stochastic Processes and their Applications 142, pages 671-705.
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Wajid Shakeel Ahmed, Muhammad Sohaib, Jamal Maqsood & Ateeb Siddiqui. (2021) Do intraday week effect in currencies hourly trading reflect leverage and asymmetric anomalies? Policy implications for traders. Journal of Chinese Economic and Foreign Trade Studies 14:3, pages 240-256.
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Eric Ghysels, Per Mykland & Eric Renault. (2021) IN-SAMPLE ASYMPTOTICS AND ACROSS-SAMPLE EFFICIENCY GAINS FOR HIGH FREQUENCY DATA STATISTICS. Econometric Theory, pages 1-37.
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A. W. Rathgeber, J. Stadler & S. Stöckl. (2020) The impact of the leverage effect on the implied volatility smile: evidence for the German option market. Review of Derivatives Research 24:2, pages 95-133.
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Xinxin Yang, Xinghua Zheng & Jiaqi Chen. (2021) Testing high-dimensional covariance matrices under the elliptical distribution and beyond. Journal of Econometrics 221:2, pages 409-423.
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Jens Jackwerth & Grigory Vilkov. (2019) Asymmetric Volatility Risk: Evidence from Option Markets*. Review of Finance 23:4, pages 777-799.
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Jone B. Horpestad, Štefan Lyócsa, Peter Molnár & Torbjørn B. Olsen. (2019) Asymmetric volatility in equity markets around the world. The North American Journal of Economics and Finance 48, pages 540-554.
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Markus Bibinger, Christopher Neely & Lars Winkelmann. (2019) Estimation of the discontinuous leverage effect: Evidence from the NASDAQ order book. Journal of Econometrics 209:2, pages 158-184.
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Mohammad Khaleq Newaz & Jin Suk Park. (2019) The impact of trade intensity and Market characteristics on asymmetric volatility, spillovers and asymmetric spillovers: Evidence from the response of international stock markets to US shocks. The Quarterly Review of Economics and Finance 71, pages 79-94.
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Ningning Xia & Xinghua Zheng. (2018) On the inference about the spectral distribution of high-dimensional covariance matrix based on high-frequency noisy observations. The Annals of Statistics 46:2.
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Omar El Euch, Masaaki Fukasawa & Mathieu Rosenbaum. (2018) The microstructural foundations of leverage effect and rough volatility. Finance and Stochastics 22:2, pages 241-280.
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Kyungsub Lee & Byoung Ki Seo. (2016) Performance of Tail Hedged Portfolio with Third Moment Variation Swap. Computational Economics 50:3, pages 447-471.
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Jean Jacod, Claudia Klüppelberg & Gernot Müller. (2017) Testing for non-correlation between price and volatility jumps. Journal of Econometrics 197:2, pages 284-297.
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Farrukh Javed & Krzysztof Podgórski. (2017) Tail Behavior and Dependence Structure in the APARCH Model. Journal of Time Series Econometrics 9:2.
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Ekaterina Smetanina. (2017) Real-Time GARCH*. Journal of Financial Econometrics 15:4, pages 561-601.
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Per A. Mykland & Lan Zhang. (2016) Between data cleaning and inference: Pre-averaging and robust estimators of the efficient price. Journal of Econometrics 194:2, pages 242-262.
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Oliver Linton, Yoon-Jae Whang & Yu-Min Yen. (2016) A nonparametric test of a strong leverage hypothesis. Journal of Econometrics 194:1, pages 153-186.
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Mathias Vetter. (2015) Estimation of integrated volatility of volatility with applications to goodness-of-fit testing. Bernoulli 21:4.
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Torben G. Andersen, Oleg Bondarenko & Maria T. Gonzalez-Perez. (2015) Exploring Return Dynamics via Corridor Implied Volatility. Review of Financial Studies 28:10, pages 2902-2945.
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Christa Cuchiero & Josef Teichmann. (2015) Fourier transform methods for pathwise covariance estimation in the presence of jumps. Stochastic Processes and their Applications 125:1, pages 116-160.
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Imma Valentina Curato & Simona Sanfelici. 2015. The Handbook of High Frequency Trading. The Handbook of High Frequency Trading 425 446 .
Carsten Chong, Marc Hoffmann, Yanghui Liu, Mathieu Rosenbaum & Grégoire Szymanski. (2022) Statistical Inference for Rough Volatility: Central Limit Theorems. SSRN Electronic Journal.
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Seunghyeon Yu & Yoann Potiron. (2022) A Tale of Two Time Scales: Applications in Nonparametric Hawkes Processes With Ito Semimartingale Baseline. SSRN Electronic Journal.
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Tim Bollerslev. (2022) Jumps, Leverage and Risk Premiums. SSRN Electronic Journal.
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Hoon Cho, Dohyun Chun & Doojin Ryu. (2022) Discovering the Drivers of Stock Market Volatility in a Data-Rich World. SSRN Electronic Journal.
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Giulia Livieri, Maria Elvira Mancino, Stefano Marmi & Giacomo Toscano. (2021) Volatility of volatility estimation: central limit theorems for the Fourier transform estimator and empirical study of the daily time series stylized facts. SSRN Electronic Journal.
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Giacomo Toscano. (2021) The Price-Leverage Covariation as a Measure of the Response of the Leverage Effect To Price and Volatility Changes: Empirical Evidence. SSRN Electronic Journal.
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Federico M. Bandi, Nicola Fusari & Roberto Renò. (2020) Structural Stochastic Volatility. SSRN Electronic Journal.
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Giacomo Toscano & Maria Elvira Mancino. (2020) Rate-Efficient Asymptotic Normality for the Fourier Estimator of the Leverage Process. SSRN Electronic Journal.
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Guanglian Hu, Kris Jacobs & Sang Byung Seo. (2018) Characterizing the Variance Risk Premium in Consumption-Based Models. SSRN Electronic Journal.
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Jone Horpestad, Stefan Lyocsa, Peter Molnár & Torbjørn Olsen. (2018) Asymmetric Volatility in Equity Markets Around the World. SSRN Electronic Journal.
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Christina Dan Wang, Per A. Mykland & Lan Zhang. (2017) Estimating and Forecasting Volatility Using Leverage Effect. SSRN Electronic Journal.
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Xinxin Yang, Xinghua Zheng, Jiaqi Chen & Li Hua. (2017) Testing High-Dimensional Covariance Matrices Under the Elliptical Distribution and Beyond. SSRN Electronic Journal.
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Sujay Mukhoti & Pritam Ranjan. (2017) A New Class of Discrete-Time Stochastic Volatility Model with Correlated Errors. SSRN Electronic Journal.
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Ningning Xia & Xinghua Zheng. (2016) On the Inference About the Spectral Distribution of High-Dimensional Covariance Matrix Based on High-Frequency Noisy Observations. SSRN Electronic Journal.
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Xiuping Mao, Esther Ruiz, Helena Veiga & Veronika Czellar. (2015) Asymmetric Stochastic Volatility Models: Properties and Estimation. SSRN Electronic Journal.
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Yacine Ait-Sahalia, Jianqing Fan, Roger J. A. Laeven, Christina Dan Wang & Xiye Yang. (2014) Estimation of the Continuous and Discontinuous Leverage Effects. SSRN Electronic Journal.
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Per A. Mykland & Lan Zhang. (2014) Assessment of Uncertainty in High Frequency Data: The Observed Asymptotic Variance. SSRN Electronic Journal.
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Yuta Koike & Zhi Liu. (2014) Higher Order Realized Power Variations of Semi-Martingales with Applications. SSRN Electronic Journal.
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Ekaterina Smetanina. (2014) Real-Time GARCH: Does Current Information Matter?. SSRN Electronic Journal.
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Jens Carsten Jackwerth & Grigory Vilkov. (2013) Asymmetric Volatility Risk: Evidence from Option Markets. SSRN Electronic Journal.
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Oliver B. Linton, Yoon-Jae Whang & Yumin Yen. (2012) A Nonparametric Test of the Leverage Hypothesis. SSRN Electronic Journal.
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