| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w17592 |
| 来源ID | Working Paper 17592 |
| The Leverage Effect Puzzle: Disentangling Sources of Bias at High Frequency | |
| Yacine Ait-Sahalia; Jianqing Fan; Yingying Li | |
| 发表日期 | 2011-11-11 |
| 出版年 | 2011 |
| 语种 | 英语 |
| 摘要 | The leverage effect refers to the generally negative correlation between an asset return and its changes of volatility. A natural estimate consists in using the empirical correlation between the daily returns and the changes of daily volatility estimated from high-frequency data. The puzzle lies in the fact that such an intuitively natural estimate yields nearly zero correlation for most assets tested, despite the many economic reasons for expecting the estimated correlation to be negative. To better understand the sources of the puzzle, we analyze the different asymptotic biases that are involved in high frequency estimation of the leverage effect, including biases due to discretization errors, to smoothing errors in estimating spot volatilities, to estimation error, and to market microstructure noise. This decomposition enables us to propose novel bias correction methods for estimating the leverage effect. |
| 主题 | Econometrics ; Estimation Methods ; Financial Economics ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w17592 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/575267 |
| 推荐引用方式 GB/T 7714 | Yacine Ait-Sahalia,Jianqing Fan,Yingying Li. The Leverage Effect Puzzle: Disentangling Sources of Bias at High Frequency. 2011. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w17592.pdf（1207KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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