1,502
Views
68
CrossRef citations to date
0
Altmetric
Theory and Methods

The Estimation of Leverage Effect With High-Frequency Data

Pages 197-215 | Received 01 Sep 2011, Published online: 19 Mar 2014

REFERENCES

  • Aït-Sahalia, Y., Fan, J., and Li, Y. (2013), “The Leverage Effect Puzzle: Disentangling Sources of Bias at High Frequency,” Journal of Financial Economics, 109, 224–249.
  • Aït-Shalia, Y., and Jacod, J. (2009), “Testing for Jumps in a Discretely Observed Process,” The Annals of Statistics, 37, 184–222.
  • Andersen, T.G., and Bollerslev, T. (1998), “Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts,” International Economic Review, 39, 885–905.
  • Andersen, T.G., Bollerslev, T., Diebold, F.X., and Ebens, H. (2001), “The Distribution of Realized Stock Return Volatility,” Journal of Financial Economics, 61, 43–76.
  • Andersen, T.G., Bollerslev, T., Diebold, F.X., and Labys, P. (2000), “Great Realizations,” Risk, 13, 105–108.
  • Ball, C.A., and Roma, A. (1994), “Stochastic Volatility Option Pricing,” The Journal of Financial and Quantitative Analysis, 29, 589–607.
  • Barndorff-Nielsen, O., Graversen, S., Jacod, J., Podolskij, M., and Shephard, N. (2006), “A Central Limit Theorem for Realised Power and Bipower Variations of Continuous Semimartingales,” in From Stochastic Calculus to Mathematical Finance, The Shiryaev Festschrift, eds. Y. Kabanov, R. Liptser, and J. Stoyanov, Berlin: Springer Verlag, pp. 33–69.
  • Barndorff-Nielsen, O., and Veraart, A. (2009), “Stochastic Volatility of Volatility in Continuous Time,” CREATES Research Paper No. 2009-25.
  • Barndorff-Nielsen, O.E., Hansen, P.R., Lunde, A., and Shephard, N. (2008a), “Designing Realized Kernels to Measure Ex-Post Variation of Equity Prices in the Presence of Noise,” Econometrica, 76, 1481–1536.
  • Barndorff-Nielsen, O.E., Kinnebrock, S., and Shephard, N. (2008b), “Measuring Downside Risk—Realised Semivariance,” . Department of Economics Working Paper 382, University of Oxford.
  • Barndorff-Nielsen, O.E., and Shephard, N. (2002), “Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models,” Journal of The Royal Statistical Society, Series B, 64, 253–280.
  • Barndorff-Nielsen, O.E., and Shephard, N. (2004), “Power and Bipower Variation With Stochastic Volatility and Jumps,” (with discussion), Journal of Financial Econometrics, 2, 1–48.
  • Barndorff-Nielsen, O.E., and Shephard, N. (2005), “Variation, Jumps, Market Frictions and High Frequency Data in Financial Econometrics,” . Technical Report, University of Aarhus.
  • Barndorff-Nielsen, O.E., and Shephard, N. (2006), “Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation,” Journal of Financial Econometrics, 4, 1–30.
  • Bekaert, G., and Wu, G. (1997), “Asymmetric Volatility and Risk in Equity Markets,” . NBER Working Paper No. 6022, National Bureau of Economic Research, Inc.
  • Black, B. (1976), “Studies of Stock Price Volatility Changes,” in Proceedings of the 176 Meetings of the American Statistical Association, Business and Economic Statistics, pp. 177–181.
  • Bollerslev, T. (1986), “Generalized Autorgeressive Conditional Heteroskedasticity,” Journal of Econometrics, 31, 307–327.
  • Bollerslev, T., Litvinova, J., and Tauchen, G. (2006), “Leverage and Volatility Feedback Effects in High-Frequency Data,” Journal of Financial Econometrics, 4, 353–384.
  • Bouchaud, J.-P., Matacz, A., and Potters, M. (2001), “The Leverage Effect in Financial Markets: Retarded Volatility and Market Panic,” . Science & Finance (CFM) Working Paper Archive 0101120, Science & Finance, Capital Fund Management.
  • Brockwell, P.J., and Marquardt, T. (2005), “Lévy-Driven and Fractionally Integrated ARMA Processes With Continuous Time Parameter,” Statistica Sinica, 477–494.
  • Campbell, J.Y., and Hentschel, L. (1991), “No News is Good News: An Asymmetric Model of Changing Volatility in Stock Returns,” . NBER Working Paper No. 3742, National Bureau of Economic Research, Inc.
  • Chan, K., Chockalingam, M., and Lai, K. W.L. (2000), “Overnight Information and Intraday Trading Behavior: Evidence From NYSE Cross-Listed Stocks and Their Local Market Information,” Journal of Multinational Financial Management, 10, 495–509.
  • Chen, X., and Ghysels, E. (2011), “News—Good or Bad—and the Impact on Volatility Predictions Over Multiple Horizons,” Review of Financial Studies, 24, 46–81.
  • Christie, A.A. (1982), “The Stochastic Behavior of Common Stock Variances: Value, Leverage and Interest Rate Effects,” Journal of Financial Economics, 10, 407–432.
  • Comte, F., Coutin, L., and Renault, E. (2010), “Affine Fractional Stochastic Volatility Models,” Recherche, 13, 1–35.
  • Comte, F., and Renault, E. (1998), “Long Memory in Continuous-Time Stochastic Volatility Models,” Mathematical Finance, 8, 291–323.
  • Delbaen, F., and Schachermayer, W. (1994), “A General Version of the Fundamental Theorem of Asset Pricing,” Mathematische Annalen, 300, 463–520.
  • Delbaen, F., and Schachermayer, W. (1995), “The Existence of Absolutely Continuous Local Martingale Measures,” Annals of Applied Probability, 5, 926–945.
  • Delbaen, F., and Schachermayer, W. (1998), “The Fundamental Theorem of Asset Pricing for Unbounded Stochastic Processes,” Mathematische Annalen, 312, 215–250.
  • Engle, R.F. (1982), “Autogregressive Conditional Heteroskedasticity With Estimates of the Variance of U.K. Inflation,” Econometrica, 50, 987–1008.
  • Engle, R.F. (2000), “The Econometrics of Ultra-High Frequency Data,” Econometrica, 68, 1–22.
  • Engle, R.F., and Ng, V.K. (1993), “Measuring and Testing the Impact of News on Volatility,” Journal of Finance, 48, 1749–1778.
  • Fama, E.F. (1965), “The Behavior of Stock-Market Prices,” The Journal of Business, 38, 34–105.
  • Figlewski, S., and Wang, X. (2001), “Is the ’Leverage Effect’ a Leverage Effect?,” Review of Financial Studies, 24, 46–81.
  • French, K.R., Schwert, G.W., and Stambaugh, R.F. (1987), “Expected Stock Returns and Volatility,” Journal of Financial Economics, 19, 3–29.
  • Glosten, L.R., Jagannathan, R., and Runkle, D.E. (1993), “On the Relation Between the Expected Value and the Volatility of the Nominal Excess Return on Stocks,” Journal of Finance, 48, 1779–1801.
  • Gloter, A., and Hoffmann, M. (2004), “Stochastic Volatility and Fractional Brownian Motion,” Stochastic Processes and Their Applications, 113, 143–172.
  • Hall, P., and Heyde, C.C. (1980), Martingale Limit Theory and Its Application, Boston: Academic Press.
  • Harris, L. (1990), “Statistical Properties of the Roll Serial Covariance Bid/Ask Spread Estimator,” Journal of Finance, 45, 579–590.
  • Hasanhodzic, J., and Lo, A.W. (2011), “Black’s Leverage Effect is Not Due to Leverage,” . Working Paper.
  • Hasbrouck, J. (1996), “Modeling Market Microstructure Time Series,” in Handbook of Statistics, volume 14, eds. C. R. Rao and G. S. Maddala, Amsterdam: North-Holland, pp. 647–692.
  • Heath, D. (1977), “Interpolation of Martingales,” Annals of Probability, 5, 804–806.
  • Heston, S. (1993), “A Closed-Form Solution for Options With Stochastic Volatility With Applications to Bonds and Currency Options,” Review of Financial Studies, 6, 327–343.
  • Hull, J., and White, A. (1987), “The Pricing of Options on Assets With Stochastic Volatilities,” Journal of Finance, 42, 281–300.
  • Jacad, J. (2009), “On Continuous Conditional Gaussian Martingales and Stable Convergence in Law,” Seminaire de Probabilites, 232–246.
  • Jacod, J. (1994), “Limit of Random Measures Associated With the Increments of a Brownian Semimartingale,” . Technical Report, Université de Paris VI.
  • Jacod, J. (1996), “La Variation Quadratique du Brownien en Présence d’Erreurs d’Arrondi,” Astérisque, 236, 155–162.
  • Jacod, J. (2008), “Asymptotic Properties of Realized Power Variations and Related Functionals of Semimartingales,” Stochastic Processes and Their Applications, 118, 517–559.
  • Jacod, J., Li, Y., Mykland, P.A., Podolskij, M., and Vetter, M. (2009), “Microstructure Noise in the Continuous Case: The Pre-Averaging Approach,” Stochastic Processes and Their Applications, 119, 2249–2276.
  • Jacod, J., and Protter, P. (2011), Discretization of Processes, New York: Springer.
  • Jacod, J., and Shiryaev, A.N. (2003), Limit Theorems for Stochastic Processes (2nd ed.), New York: Springer-Verlag.
  • Kim, D., and Kon, S.J. (1994), “Alternative Models for the Conditional Heteroscedasticity of Stock Returns,” Journal of Business, 67, 563–598.
  • Kristensen, D. (2010), “Nonparametric Filtering of the Realized Spot Volatility: A Kernel-Based Approach,” Econometric Theory, 26.
  • Lee, S., and Mykland, P.A. (2012), “Jumps in Equilibrium Prices and Market Microstructure Noise,” Journal of Econometrics, 168, 396–406.
  • Li, Y., Mykland, P., Renault, E., Zhang, L., and Zheng, X. (2013), “Realized Volatility When Endogeniety of Time Matters,” Econometric Theory, to appear.
  • Mancini, C. (2001), “Disentangling the Jumps of the Diffusion in a Geometric Jumping Brownian Motion,” Giornale dell’Istituto Italiano degli Attuari, LXIV, 19–47.
  • Mandelbrot, B. (1963), “The Variation of Certain Speculative Prices,” Journal of Business, 36, 394.
  • Meddahi, N., and Renault, E. (2004), “Temporal Aggregation and volatility Models,” Journal of Econometrics, 119, 355–379.
  • Mykland, P.A. (1994), “Bartlett Type Identities for Martingales,” The Annals of Statistics, 22, 21–38.
  • Mykland, P.A. (1995), “Embedding and Asymptotic Expansions for Martingales,” Probability Theory and Related Fields, 103, 475–492.
  • Mykland, P.A., and Zhang, L. (2006), “ANOVA for Diffusions and Itô Processes,” The Annals of Statistics, 34, 1931–1963.
  • Mykland, P.A., and Zhang, L. (2009), “Inference for Continuous Semimartingales Observed at High Frequency,” Econometrica, 77, 1403–1455.
  • Mykland, P.A., and Zhang, L. (2011a), “Between Data Cleaning and Inference: Pre-Averaging and other Robust Estimators of the Efficient Price,” . Working Paper, University of Illinois at Chicago and University of Chicago.
  • Mykland, P.A., and Zhang, L. (2011b), “The Double Gaussian Approximation for High Frequency Data,” Scandinavian Journal of Statistics, 38, 215–236.
  • Mykland, P.A., and Zhang, L. (2012), “The Econometrics of High Frequency Data,” in Statistical Methods for Stochastic Differential Equations, eds. M. Kessler, A. Lindner, and M. Sørensen, Boca Raton, FL: Chapman and Hall/CRC Press.
  • Nelson, D.B. (1991), “Conditional Heteroskedasticity in Asset Returns: A New Approach,” Econometrica, 59, 347–370.
  • Neuberger, A. (2012), “Realized Skewness,” The Review of Financial Studies, 25, 3423–3455.
  • Nualart, D. (2006), Fractional Brownian Motion: Stochastic Calculus and Applications, Zürich: The European Mathematical Society.
  • Officer, R.R. (1973), “The Variability of the Market Factor of the New York Stock Exchange,” The Journal of Business, 46, 434–453.
  • O’Hara, M. (1995), Market Microstructure Theory, Cambridge, MA: Blackwell Publishers.
  • Pindyck, R.S. (1984), “Risk, Inflation, and the Stock Market,” American Economic Review, 74, 335–351.
  • Podolskij, M. and Vetter, M. (2009a), “Bipower-Type Estimation in a Noisy Diffusion Setting,” Stochastic Processes and Their Applications, 119, 2803–2831.
  • Podolskij, M. and Vetter, M. (2009b), “Understanding Limit Theorems for Semimartingales: A Short Survey,” Statistica Neerlandica, 64, 329–351.
  • Podolskij, M., and Ziggel, D. (2010), “New Tests for Jumps in Semimartingale Models,” Statistical Inference for Stochastic Processes, 13, 15–41.
  • Reiss, M. (2010), “Asymptotic Equivalence and Sufficiency for Volatility Estimation Under Microstructure Noise,” . ArXiv:1001.3006.
  • Renault, E., and Werker, B.J. (2011), “Causality Effects in Return Volatility Measures With Random Times,” Journal of Econometrics, 160, 272–279.
  • Roll, R. (1984), “A Simple Model of the Implicit Bid-Ask Spread in an Efficient Market,” Journal of Finance, 39, 1127–1139.
  • Stein, E.M., and Stein, J.C. (1991), “Stock Price Distributions With Stochastic Volatility: An Analytic Approach,” Review of Financial Studies, 4, 727–752.
  • Tauchen, G., and Zhang, L.M. (1996), “Volume, Volatility, and Leverage: A Dynamic Analysis,” Journal of Econometrics, 74, 177–208.
  • Weisberg, S. (2004), Applied Linear Regression (3rd ed.), New York: Wiley/Interscience.
  • Wood, R.A., McInish, T.H., and Ord, J.K. (1985), “An Investigation of Transactions Data for NYSE Stocks,” Journal of Finance, 40, 723–739.
  • Wu, G. (2001), “The Determinants of Asymmetric Volatility,” Review of Financial Studies, 14, 837–859.
  • Wu, G., and Xiao, Z. (2002), “A Generalized Partially Linear Model of Asymmetric Volatility,” Journal of Empirical Finance, 9, 287–319.
  • Xiu, D. (2010), “Quasi-Maximum Likelihood Estimation of Volatility With High Frequency Data,” Journal of Econometrics, 159, 235–250.
  • Zakoian, J.-M. (1994), “Threshold Heteroskedastic Models,” Journal of Economic Dynamics and Control, 18, 931–955.
  • Zhang, L. (2006), “Efficient Estimation of Stochastic Volatility Using Noisy Observations: A Multi-Scale Approach,” Bernoulli, 12, 1019–1043.
  • Zhang, L., Mykland, P.A., and Aït-Sahalia, Y. (2005), “A Tale of Two Time Scales: Determining Integrated Volatility With Noisy High-Frequency Data,” Journal of the American Statistical Association, 100, 1394–1411.

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.