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Fourier estimation of stochastic leverage using high frequency data

Imma Valentina Curato ()
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Imma Valentina Curato: Dipartimento di Economia e Management, Universita' degli Studi di Pisa

No 2013-04, Working Papers - Mathematical Economics from Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa

Abstract: In this paper, we define a new estimator of the leverage stochastic process based only on a pre-estimation of the Fourier coefficients of the volatility process. This feature constitutes a novelty in comparison with the leverage estimators proposed in the literature generally based on a pre-estimation of the spot volatility. Our estimator is proved to be consistent and in virtue of its definition it can be directly applied to estimate the leverage effect in case of irregular trading observations of the price path and microstructure noise contaminations.

Keywords: leverage; non-parametric estimation; semi-martingale; Fourier transform; high frequency data. (search for similar items in EconPapers)
Pages: 19 pages
Date: 2013-06
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-mst
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Persistent link: https://EconPapers.repec.org/RePEc:flo:wpaper:2013-04

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