Browsing Titles index "Nonparametric estimation of the leverage effect: a trade-off between robustness and efficiency"
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(Université de Montréal. Département de sciences économiques., 2015-11-22)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 ...