Studying the Leverage Effect Based on High-frequency Data
Speaker:
Yingying Li, Hong Kong University of Science and Technology
Date and Time:
Friday, April 23, 2010 - 5:00pm to 5:20pm
Location:
Fields Institute, Room 230
Abstract:
We show how high-frequency data can be used to detect the leverage effect, and explain why extra caution has to be used when one studies the leverage effect based on the asymptotic results of the high-frequency volatility estimators.
