The leverage effect puzzle under semi-nonparametric stochastic volatility models
Year of publication: |
2024
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Authors: | Chen, Dachuan ; Li, Chenxu ; Tang, Cheng Yong ; Yan, Jun |
Published in: |
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association. - Abingdon : Taylor & Francis, ISSN 1537-2707, ZDB-ID 2043744-4. - Vol. 42.2024, 2, p. 548-562
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Subject: | High-frequency data | Leverage effect;Operator method | Semi-nonparametric | Stochastic volatility | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Theorie | Theory | Kapitalstruktur | Capital structure | Kapitaleinkommen | Capital income | Finanzmarkt | Financial market | Nichtparametrisches Verfahren | Nonparametric statistics |
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