Estimating Leverage Effect and Volatility of Volatility in the Presence of Jumps, Microstructure Noise and Irregular Observation Times
The article presents new methods for estimating leverage effect and volatility using high frequency data, tested through simulation and real data analysis.
Featured in No. 25 on 8 Nov 2023 · 1 day after release · 0 citations today
- Released
- 7 Nov 2023
- First featured
- No. 25 · 8 Nov 2023
- Citations (Semantic Scholar)
- 0
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- 0
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- 3
- Identifier
- SSRN 4625351
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