Virtual Seminar: Dr. Xiye Yang from Rutgers University
Topic: Estimation of Leverage Effect: Kernel Function and Efficiency
Quantitative Research in Financial Economics seminar
Abstract: This paper proposes more efficient estimators for the leverage effect than the existing ones. The idea is to allow for non-uniform kernel functions in the spot volatility estimates or the aggregated returns. This finding highlights a key difference between the leverage effect and integrated volatility functionals, where the uniform kernel is optimal. Another distinction between these two cases is that the overlapping estimators of the leverage effect are more efficient than the non-overlapping ones. We offer two perspectives to explain these differences: one is based on the “effective kernel” and the other on the correlation structure of the non-overlapping estimators. The simulation study shows that the proposed estimator with a non-uniform kernel substantially increases the estimation efficiency and testing power relative to the existing ones.
Seminar Place: Zoom. To attend the seminar, please register by clicking on the link below:
Our PhD students in economics and finance have to attend the seminars. This is part of their training, which should help with their thesis.