Estimation of the discontinuous leverage effect: Evidence from the NASDAQ order book
不连续杠杆效应的估计：来自纳斯达克订单簿的证据
An extensive empirical literature documents a generally negative relation, named the “leverage effect,” between asset returns and changes of volatility. It is more challenging to establish such a return–volatility relationship for jumps in high-frequency data. We propose new nonparametric methods to assess and test for a discontinuous leverage effect — i.e. a covariation between contemporaneous jumps in prices and volatility. The methods are robust to market microstructure…