---
title: Volatility Estimation and Leverage Effect
url: https://www.ml-quant.com/papers/ssrn/4703293/
site: ML-Quant (https://www.ml-quant.com)
updated: 2026-09-26
license: Summaries CC BY 4.0; links go to the original sources
index: https://www.ml-quant.com/llms.txt
identifier: SSRN 4703293
source_url: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4703293
featured: 2024-01-23
citations: unknown
topic: Derivatives & Volatility
---


# Volatility Estimation and Leverage Effect

The paper introduces nonparametric estimators for volatility and leverage effect, using high-frequency observations of short-dated options, with the rate of convergence depending on the latent volatility process and observation error.

- Source: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4703293
- Identifier: SSRN 4703293
- Released: 2023-05-10
- First featured: Quant Letter No. 34 (2024-01-23): https://www.ml-quant.com/issues/2024-01-23/
- Citations (Semantic Scholar): not tracked
- Published in: not yet
- Topic: Derivatives & Volatility

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