Nonparametric estimation of the leverage effect : a trade-off between robustness and efficiency

Ilze Kalnina (Université de Montréal), Dacheng Xiu (Chicago Booth)

Year of publication:	November 22, 2015
Authors:	Kalnina, Ilze ; Xiu, Dacheng
Publisher:	Montréal : Département de Sciences Economiques, Université de Montréal
Subject:	derivatives \| VIX \| implied volatility \| high frequency data \| spot correlation \| Volatilität \| Volatility \| Derivat \| Derivative \| Korrelation \| Correlation \| Nichtparametrisches Verfahren \| Nonparametric statistics \| Schätzung \| Estimation \| Schätztheorie \| Estimation theory \| ARCH-Modell \| ARCH model \| Robustes Verfahren \| Robust statistics \| Börsenkurs \| Share price \| Nichtparametrische Schätzung \| Nonparametric estimation

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