This is the program for the 2010 Joint Statistical Meetings in Vancouver, British Columbia.
Abstract Details
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Activity Number:
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604
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Type:
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Invited
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Date/Time:
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Thursday, August 5, 2010 : 8:30 AM to 10:20 AM
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Sponsor:
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Business and Economic Statistics Section
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| Abstract - #306315 |
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Title:
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Studying the Leverage Effect Based on High-Frequency Data
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Author(s):
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Yacine Ait-Sahalia and Jianqing Fan and Yingying Li*+
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Companies:
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Princeton University and Princeton University and Hong Kong University of Science and Technology
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Address:
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Department of ISOM (room 4412), HKUST, Hong Kong, International, , China
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Keywords:
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Leverage Effect ;
High-Frequency Data ;
Realized Volatility ;
Market Microstructure ;
Heston Model
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Abstract:
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We show how high-frequency data can be used to detect the leverage effect, and explain why extra caution has to be used when one studies the leverage effect based on the asymptotic results of the high-frequency volatility estimators .
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The address information is for the authors that have a + after their name.
Authors who are presenting talks have a * after their name.
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