Browsing Faculté des arts et des sciences – Département de sciences économiques - Travaux et publications by Subject "High frequency data"

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  • Cross-sectional dependence in idiosyncratic volatility 

    Kalnina, Ilze; Tewou, Kokouvi (Université de Montréal. Département de sciences économiques., 2015-07)
    This paper introduces a framework for analysis of cross-sectional dependence in the idiosyncratic volatilities of assets using high frequency data. We first consider the estimation of standard measures of dependence in the idiosyncratic volatilities ...

  • Nonparametric estimation of the leverage effect: a trade-off between robustness and efficiency 

    Kalnina, Ilze; Xiu, Dacheng (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 ...