Browsing Faculté des arts et des sciences – Département de sciences économiques - Travaux et publications by Subject "High frequency data"
Now showing items 1-2 of 2
-
Cross-sectional dependence in idiosyncratic volatility
(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
(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 ...