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Estimation of the Stochastic Leverage Effect Using the Fourier Transform Method · Study

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ArticleEstimation of the Stochastic Leverage Effect Using the Fourier Transform Method

Imma Valentina Curato2015

OA

Articlebronze2015

Estimation of the Stochastic Leverage Effect Using the Fourier Transform Method

Imma Valentina Curato

17 citations·0/0 files stored·Stochastic Processes and their Applications

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Stochastic processes and financial applications Financial Risk and Volatility Modeling Complex Systems and Time Series Analysis

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References

1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options 2006The Malliavin Calculus and Related Topics 1982The stochastic behavior of common stock variances Value, leverage and interest rate effects 2002Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models 2001Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics 1995The Malliavin Calculus and Related Topics 2008Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise 1976Studies of stock market volatility changes

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2009Stochastic Volatility and Stochastic Leveragearticle · 11 shared references 2009Stochastic Volatility of Volatility in Continuous Timepreprint · 9 shared references 2021Realized Semi(co)variation: Signs That All Volatilities are Not Created Equalarticle · 8 shared references 2015Fourier Spot Volatility Estimator: Asymptotic Normality and Efficiency with Liquid and Illiquid High-Frequency Dataarticle · 8 shared references 2013The Estimation of Leverage Effect With High-Frequency Dataarticle · 7 shared references 2012Stochastic Volatility of Volatility and Variance Risk Premiaarticle · 7 shared references

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Year2015

Typearticle

Published2015-01-01

VenueStochastic Processes and their Applications

ISSN-L0304-4149

Languageen

Citations17

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.spa.2018.09.001

openalex_workW3123643164

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