The Leverage Effect Puzzle under Semi-nonparametric Stochastic Volatility Models
半非参数随机波动率模型下的杠杆效应之谜
This article extends the solution proposed by Aït-Sahalia, Fan, and Li for the leverage effect puzzle, which refers to a fact that empirical correlation between daily asset returns and the changes of daily volatility estimated from high frequency data is nearly zero. Complementing the analysis in Aït-Sahalia, Fan, and Li via the Heston model, we work with a generic semi-nonparametric stochastic volatility model via an operator-based expansion method. Under such a general…