Volatility Estimation and Leverage Effect
The paper introduces nonparametric estimators for volatility and leverage effect, using high-frequency observations of short-dated options, with the rate of convergence depending on the latent volatility process and observation error.
Featured in No. 34 on 23 Jan 2024 ·
- Released
- 10 May 2023
- First featured
- No. 34 · 23 Jan 2024
- Published in
- Not yet, as far as Semantic Scholar knows
- Shares when featured
- 2
- Identifier
- SSRN 4703293
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