Time-varying leverage effects

104 citations recorded by the source corpus.

Subfields: Finance

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Nonparametric Estimation of the Leverage Effect: A Trade-Off Between Robustness and Efficiency (2017, unknown): “Bandi and Renò (2012), Bandi and Renò (2015), and Aït-Sahalia et al. (2015) estimated related quantities, which are however different from the integrated leverage effect.”
The Leverage Effect Puzzle: Disentangling Sources of Bias at High Frequency (2011, background): “Center for Finance AG09/10.BM12 and to one possible economic interpretation of this phenomenon, developed in Black (1976) and Christie (1982): as asset prices decline, companies become mechanically more leveraged since the relative value of their debt rises relative to that of their equity.”
Exploring Return Dynamics via Corridor Implied Volatility (2015, unknown): “8 5Bondarenko (2014) mentions the corridor application, but does not deliver any prescription for the suitable computation of the truncation returns.”
Regime-switching stochastic volatility model: estimation and calibration to VIX options (2017, background): “Most importantly, this correlation tends to increase when volatility increases, indicating that the leverage effect becomes substantially stronger, as noted by Bandi and Reno (2012).”