References
- Ait-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. DOI: https://doi.org/10.1016/j.jfineco.2013.02.018.
- Andersen, T. G., and Sørensen, B. E. (1996), “GMM Estimation of a Stochastic Volatility Model: A Monte Carlo Study,” Journal of Business & Economic Statistics, 14, 328–352.
- Ardia, D., Bluteau, K., Boudt, K., and Catania, L. (2018), “Forecasting Risk With Markov-Switching GARCH Models: A Large-Scale Performance Study,” International Journal of Forecasting, 34, 733–747. DOI: https://doi.org/10.1016/j.ijforecast.2018.05.004.
- Bandi, F. M., and Renò, R. (2016), “Price and Volatility Co-Jumps,” Journal of Financial Economics, 119, 107–146. DOI: https://doi.org/10.1016/j.jfineco.2015.05.007.
- Black, F. (1976), “Studies of Stock Market Volatility Changes,” Meeting of the Business and Economic Statistics Section, American Statistical Association, Washington, DC.
- Bollerslev, T., Litvinova, J., and Tauchen, G. (2006), “Leverage and Volatility Feedback Effects in High-Frequency Data,” Journal of Financial Econometrics, 4, 353–384. DOI: https://doi.org/10.1093/jjfinec/nbj014.
- Broto, C., and Ruiz, E. (2004), “Estimation Methods for Stochastic Volatility Models: A Survey,” Journal of Economic Surveys, 18, 613–649. DOI: https://doi.org/10.1111/j.1467-6419.2004.00232.x.
- Catania, L. (2020), “The Leverage Effect and Propagation,” available at SSRN: DOI: https://doi.org/http://dx.doi.org/10.2139/ssrn.3578656.
- Christie, A. A. (1982), “The Stochastic Behavior of Common Stock Variances: Value, Leverage and Interest Rate Effects,” Journal of Financial Economics, 10, 407–432. DOI: https://doi.org/10.1016/0304-405X(82)90018-6.
- Crane, B. (1959), The Sophisticated Investor: A Guide to Stock-Market Profits, New York: Simon and Schuster.
- Danielsson, J. (1994), “Stochastic Volatility in Asset Prices Estimation With Simulated Maximum Likelihood,” Journal of Econometrics, 64, 375–400. DOI: https://doi.org/10.1016/0304-4076(94)90070-1.
- Diebold, F. X., and Mariano, R. S. (1995), “Comparing Predictive Accuracy,” Journal of Business & Economic Statistics, 20, 134–144.
- Douc, R., Moulines, E., Olsson, J., and Van Handel, R. (2011), “Consistency of the Maximum Likelihood Estimator for General Hidden Markov Models,” The Annals of Statistics, 39, 474–513. DOI: https://doi.org/10.1214/10-AOS834.
- Dunsmuir, W. (1979), “A Central Limit Theorem for Parameter Estimation in Stationary Vector Time Series and Its Application to Models for a Signal Observed With Noise,” The Annals of Statistics, 7, 490–506. DOI: https://doi.org/10.1214/aos/1176344671.
- Durbin, J., and Koopman, S. J. (2012), Time Series Analysis by State Space Methods, Oxford: Oxford University Press.
- Engle, R. F., and Ng, V. K. (1993), “Measuring and Testing the Impact of News on Volatility,” The Journal of Finance, 48, 1749–1778. DOI: https://doi.org/10.1111/j.1540-6261.1993.tb05127.x.
- Figlewski, S., and Wang, X. (2000), “Is the ‘Leverage Effect’ a Leverage Effect?,” available at SSRN 256109.
- Gerd, H., Lunde, A., Shephard, N., and Sheppard, K. (2020), “Oxford-Man Institute’s Realized Library, Version 0.3,” Oxford-Man Institute, University of Oxford.
- Gordon, N. J., Salmond, D. J., and Smith, A. F. (1993), “Novel Approach to Nonlinear/Non-Gaussian Bayesian State Estimation,” in IEE Proceedings F (Radar and Signal Processing) (Vol. 140), IET, pp. 107–113. DOI: https://doi.org/10.1049/ip-f-2.1993.0015.
- Gouriéroux, C., and Monfort, A. (1996), Simulation-Based Econometric Methods, Oxford: OUP.
- Han, H., Khrapov, S., and Renault, E. (2020), “The Leverage Effect Puzzle Revisited: Identification in Discrete Time,” Journal of Econometrics, 217, 230–258. DOI: https://doi.org/10.1016/j.jeconom.2019.12.003.
- Hansen, L. P. (1982), “Large Sample Properties of Generalized Method of Moments Estimators,” Econometrica, 50, 1029–1054. DOI: https://doi.org/10.2307/1912775.
- Hansen, P. R., and Lunde, A. (2005), “A Forecast Comparison of Volatility Models: Does Anything Beat a GARCH (1, 1)?,” Journal of Applied Econometrics, 20, 873–889. DOI: https://doi.org/10.1002/jae.800.
- Hansen, P. R., Lunde, A., and Nason, J. M. (2011), “The Model Confidence Set,” Econometrica, 79, 453–497.
- Harvey, A., Ruiz, E., and Shephard, N. (1994), “Multivariate Stochastic Variance Models,” The Review of Economic Studies, 61, 247–264. DOI: https://doi.org/10.2307/2297980.
- Harvey, A. C., and Shephard, N. (1996), “Estimation of an Asymmetric Stochastic Volatility Model for Asset Returns,” Journal of Business & Economic Statistics, 14, 429–434.
- Hibbert, A. M., Daigler, R. T., and Dupoyet, B. (2008), “A Behavioral Explanation for the Negative Asymmetric Return–Volatility Relation,” Journal of Banking & Finance, 32, 2254–2266.
- Jacquier, E., Polson, N. G., and Rossi, P. E. (2004), “Bayesian Analysis of Stochastic Volatility Models With Fat-Tails and Correlated Errors,” Journal of Econometrics, 122, 185–212. DOI: https://doi.org/10.1016/j.jeconom.2003.09.001.
- Kon, S. J. (1984), “Models of Stock Returns—A Comparison,” The Journal of Finance, 39, 147–165.
- Liesenfeld, R., and Richard, J.-F. (2003), “Univariate and Multivariate Stochastic Volatility Models: Estimation and Diagnostics,” Journal of Empirical Finance, 10, 505–531. DOI: https://doi.org/10.1016/S0927-5398(02)00072-5.
- Ljung, L., and Caines, P. E. (1980), “Asymptotic Normality of Prediction Error Estimators for Approximate System Models,” Stochastics, 3, 29–46. DOI: https://doi.org/10.1080/17442507908833135.
- Malik, S., and Pitt, M. K. (2011), “Particle Filters for Continuous Likelihood Evaluation and Maximisation,” Journal of Econometrics, 165, 190–209. DOI: https://doi.org/10.1016/j.jeconom.2011.07.006.
- Melino, A., and Turnbull, S. M. (1990), “Pricing Foreign Currency Options With Stochastic Volatility,” Journal of Econometrics, 45, 239–265. DOI: https://doi.org/10.1016/0304-4076(90)90100-8.
- Meyer, R., and Yu, J. (2000), “BUGS for a Bayesian Analysis of Stochastic Volatility Models,” The Econometrics Journal, 3, 198–215. DOI: https://doi.org/10.1111/1368-423X.00046.
- Nelson, D. B. (1988), “The Time Series Behaviour of Stock Market Volatility and Returns,” Ph.D. thesis, M.I.T.
- Nelson, D. B. (1991), “Conditional Heteroskedasticity in Asset Returns: A New Approach,” Econometrica: Journal of the Econometric Society, 59, 347–370.
- Patton, A. J. (2011), “Volatility Forecast Comparison Using Imperfect Volatility Proxies,” Journal of Econometrics, 160, 246–256. DOI: https://doi.org/10.1016/j.jeconom.2010.03.034.
- Ruiz, E. (1994), “Quasi-Maximum Likelihood Estimation of Stochastic Volatility Models,” Journal of Econometrics, 63, 289–306. DOI: https://doi.org/10.1016/0304-4076(93)01569-8.
- Schwert, G. W. (1989), “Why Does Stock Market Volatility Change Over Time?,” The Journal of Finance, 44, 1115–1153. DOI: https://doi.org/10.1111/j.1540-6261.1989.tb02647.x.
- Taylor, S. (1986), Modeling Financial Time Series, Great Britain: Wiley.
- Tong, H. (1990), Non-Linear Time Series: A Dynamical System Approach, Oxford: Oxford University Press.
- Yu, J. (2005), “On Leverage in a Stochastic Volatility Model,” Journal of Econometrics, 127, 165–178. DOI: https://doi.org/10.1016/j.jeconom.2004.08.002.
- Yu, J. (2012), “A Semiparametric Stochastic Volatility Model,” Journal of Econometrics, 167, 473–482.