---
title: Estimating Leverage Effect and Volatility of Volatility in the Presence of Jumps, Microstructure Noise and Irregular Observation Times
url: https://www.ml-quant.com/papers/ssrn/4625351/
site: ML-Quant (https://www.ml-quant.com)
updated: 2026-09-26
license: Summaries CC BY 4.0; links go to the original sources
index: https://www.ml-quant.com/llms.txt
identifier: SSRN 4625351
source_url: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4625351
featured: 2023-11-08
citations: 0
topic: Derivatives & Volatility
---


# Estimating Leverage Effect and Volatility of Volatility in the Presence of Jumps, Microstructure Noise and Irregular Observation Times

The article presents new methods for estimating leverage effect and volatility using high frequency data, tested through simulation and real data analysis.

- Source: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4625351
- Identifier: SSRN 4625351
- Released: 2023-11-07
- First featured: Quant Letter No. 25 (2023-11-08): https://www.ml-quant.com/issues/2023-11-08/
- Citations (Semantic Scholar): 0
- Published in: not yet
- Topic: Derivatives & Volatility

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