Estimation of the Continuous and Discontinuous Leverage Effects
本文在允许价格和波动率为伊藤半鞅的框架下，将杠杆效应分解为连续和不连续两部分，并提出了估计方法，实证发现两种效应尤其是不连续效应显著存在。
This paper examines the leverage effect, or the generally negative covariation between asset returns and their changes in volatility, under a general setup that allows the log-price and volatility processes to be Itô semimartingales. We decompose the leverage effect into continuous and discontinuous parts and develop statistical methods to estimate them. We establish the asymptotic properties of these estimators. We also extend our methods and results (for the continuous leverage) to the situation where there is market microstructure noise in the observed returns. We show in Monte Carlo simulations that our estimators have good finite sample performance. When applying our methods to real data, our empirical results provide convincing evidence of the presence of the two leverage effects, especially the discontinuous one.