Holistic Multi-Scale Inference of the Leverage Effect: Efficiency under Dependent Microstructure Noise
杠杆效应的整体多尺度推断:相依微观结构噪声下的效率
This paper addresses the long-standing challenge of estimating the leverage effect from high-frequency data contaminated by dependent, non-Gaussian microstructure noise. We depart from the conventional reliance on pre-averaging or volatility "plug-in" methods by introducing a holistic multi-scale framework that operates directly on the leverage effect. We propose two novel estimators: the Subsampling-and-Averaging Leverage Effect (SALE) and the Multi-Scale Leverage Effect…