no code implementations • 6 May 2023 • Carsten H. Chong, Viktor Todorov
The leverage effect estimator is the sample covariance between price increments and the estimated volatility increments.
no code implementations • 24 Apr 2023 • Carsten H. Chong, Viktor Todorov
We derive a nonparametric higher-order asymptotic expansion for small-time changes of conditional characteristic functions of It\^o semimartingale increments.