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Estimation of the discontinuous leverage effect: Evidence from the NASDAQ order book. (arXiv:1704.06537v1 [math.ST])
来源于:arXiv
An extensive empirical literature documents a generally negative correlation,
named the "leverage effect" between asset returns and changes of volatility. It
is more challenging to establish such a return-volatility relationship for
jumps in high-frequency data. We propose new nonparametric methods to assess
and test for a discontinuous leverage effect --- that is, a relation between
contemporaneous jumps in prices and volatility --- in high-frequency data with
market microstructure noise. We present local tests and estimators for price
jumps and volatility jumps. Five years of transaction data from 320 NASDAQ
firms display no negative relation between price and volatility cojumps. We
show, however, that there is a strong relation between price-volatility cojumps
if one conditions on the sign of price jumps and whether the price jumps are
market-wide or idiosyncratic. 查看全文>>