The next QRFE Webinar will take place on Thursday 14th of January 2021 at 15h00.
Our speaker is Dr. Xiye Yang from Rutgers University. Xiye's website is here:
Xiye will present:
Title: Estimation of Leverage Effect: Kernel Function and Efficiency
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.