Nonparametric estimation of the leverage effect: a trade-off between robustness and efficiency
dc.contributor.author | Kalnina, Ilze | |
dc.contributor.author | Xiu, Dacheng | |
dc.date.accessioned | 2016-01-07T19:24:27Z | |
dc.date.available | 2016-01-07T19:24:27Z | |
dc.date.issued | 2015-11-22 | |
dc.identifier.uri | http://hdl.handle.net/1866/12853 | |
dc.publisher | Université de Montréal. Département de sciences économiques. | fr |
dc.subject | Derivatives | fr |
dc.subject | VIX | fr |
dc.subject | Implied volatility | fr |
dc.subject | High frequency data | fr |
dc.subject | Spot correlation | fr |
dc.title | Nonparametric estimation of the leverage effect: a trade-off between robustness and efficiency | fr |
dc.type | Article | fr |
dc.contributor.affiliation | Université de Montréal. Faculté des arts et des sciences. Département de sciences économiques | |
dcterms.abstract | We consider two new approaches to nonparametric estimation of the leverage effect. The first approach uses stock prices alone. The second approach uses the data on stock prices as well as a certain volatility instrument, such as the CBOE volatility index (VIX) or the Black-Scholes implied volatility. The theoretical justification for the instrument-based estimator relies on a certain invariance property, which can be exploited when high frequency data is available. The price-only estimator is more robust since it is valid under weaker assumptions. However, in the presence of a valid volatility instrument, the price-only estimator is inefficient as the instrument-based estimator has a faster rate of convergence. We consider two empirical applications, in which we study the relationship between the leverage effect and the debt-to-equity ratio, credit risk, and illiquidity. | fr |
dcterms.isPartOf | urn:ISSN:0709-9231 | |
dcterms.language | eng | fr |
UdeM.VersionRioxx | Version publiée / Version of Record | |
oaire.citationTitle | Cahier de recherche | |
oaire.citationIssue | 2015-05 |
Files in this item
This item appears in the following Collection(s)
This document disseminated on Papyrus is the exclusive property of the copyright holders and is protected by the Copyright Act (R.S.C. 1985, c. C-42). It may be used for fair dealing and non-commercial purposes, for private study or research, criticism and review as provided by law. For any other use, written authorization from the copyright holders is required.