The Estimation of Leverage Effect With High-Frequency Data
利用高频数据估计杠杆效应
The leverage effect has become an extensively studied phenomenon that describes the (usually) negative relation between stock returns and their volatility. Although this characteristic of stock returns is well acknowledged, most studies of the phenomenon are based on cross-sectional calibration with parametric models. On the statistical side, most previous works are conducted over daily or longer return horizons, and few of them have carefully studied its estimation,…