Estimation of Leverage Effect
Kernel Function and Efficiency
Bibliographic Data
| ID | 19417652 |
|---|---|
| Authors | Xiye Yang (0000-0003-4858-2006, Rutgers, the State University of New Jersey, corresponding author) |
| Year | 2023 |
| Volume | 41 |
| Issue | 3 |
| Pages | 939-956 |
| Publication date | 2023-07-03 |
| Open Access | No |
| Type | ARTICLE |
| Venue | Journal of Business and Economic Statistics (JOURNAL) |
| Journal identifiers | ISSN: 0735-0015 • E-ISSN: 1537-2707 |
| Publisher | Informa UK Limited (PUBLISHER • GB) |
| DOI | 10.1080/07350015.2022.2097910 |
| OpenAlex | W4283834140 |
| Language | EN |
| References cited | 33 |
This article proposes more efficient estimators for the leverage effect than the existing ones. The idea is to allow for nonuniform kernel functions in the spot volatility estimates or the aggregated returns. This finding highlights a critical difference between the leverage effect and integrated volatility functionals, where the uniform kernel is optimal. Another distinction between these two cases is that the overlapping estimators of the leverage effect are more efficient than the nonoverlapping ones. We offer two perspectives to explain these differences: one is based on the “effective kernel” and the other on the correlation structure of the nonoverlapping estimators. The simulation study shows that the proposed estimator with a nonuniform kernel substantially increases the estimation efficiency and testing power relative to the existing ones
Econometrics · Efficiency · Estimator · Kernel density estimation · Leverage effect · Mathematical optimization · Realized variance · Statistics · Computer Science · Financial Risk and Volatility Modeling · Mathematics · Monetary Policy and Economic Impact · Stochastic processes and financial applications · Applied Mathematics
| Highly cited | No |
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