FRINK Linked Data Fragments server

Matches in SemOpenAlex for { <https://semopenalex.org/work/W4286212681> ?p ?o ?g. }

• W4286212681 endingPage "2511" @default.
• W4286212681 startingPage "2511" @default.
• W4286212681 abstract "Problem: The leverage effect plays an important role in finance. However, the statistical test for the presence of the leverage effect is still lacking study. Approach: In this paper, by using high frequency data, we propose a novel procedure to test if the driving Brownian motion of an Ito^ semi-martingale is correlated to its volatility (referred to as the leverage effect in financial econometrics) over a long time period. The asymptotic setting is based on observations within a long time interval with the mesh of the observation grid shrinking to zero. We construct a test statistic via forming a sequence of Studentized statistics whose distributions are asymptotically normal over blocks of a fixed time span, and then collect the sequence based on the whole data set of a long time span. Result: The asymptotic behaviour of the Studentized statistics was obtained from the cubic variation of the underlying semi-martingale and the asymptotic distribution of the proposed test statistic under the null hypothesis that the leverage effect is absent was established, and we also show that the test has an asymptotic power of one against the alternative hypothesis that the leverage effect is present. Implications: We conducted extensive simulation studies to assess the finite sample performance of the test statistics, and the results show a satisfactory performance for the test. Finally, we implemented the proposed test procedure to a dataset of the SP500 index. We see that the null hypothesis of the absence of the leverage effect is rejected for most of the time period. Therefore, this provides a strong evidence that the leverage effect is a necessary ingredient in modelling high-frequency data." @default.
• W4286212681 created "2022-07-21" @default.
• W4286212681 creator A5073376178 @default.
• W4286212681 date "2022-07-19" @default.
• W4286212681 modified "2023-09-26" @default.
• W4286212681 title "Testing for the Presence of the Leverage Effect without Estimation" @default.
• W4286212681 cites W1965635191 @default.
• W4286212681 cites W2003413166 @default.
• W4286212681 cites W2018240140 @default.
• W4286212681 cites W2076469575 @default.
• W4286212681 cites W2085827312 @default.
• W4286212681 cites W2095487918 @default.
• W4286212681 cites W2163822069 @default.
• W4286212681 cites W2171287215 @default.
• W4286212681 cites W2186956633 @default.
• W4286212681 cites W3124314025 @default.
• W4286212681 cites W3124572170 @default.
• W4286212681 cites W3125349010 @default.
• W4286212681 cites W3126096338 @default.
• W4286212681 cites W3197196311 @default.
• W4286212681 cites W4229620168 @default.
• W4286212681 cites W4244967830 @default.
• W4286212681 doi "https://doi.org/10.3390/math10142511" @default.
• W4286212681 hasPublicationYear "2022" @default.
• W4286212681 type Work @default.
• W4286212681 citedByCount "0" @default.
• W4286212681 crossrefType "journal-article" @default.
• W4286212681 hasAuthorship W4286212681A5073376178 @default.
• W4286212681 hasBestOaLocation W42862126811 @default.
• W4286212681 hasConcept C105795698 @default.
• W4286212681 hasConcept C125918824 @default.
• W4286212681 hasConcept C149782125 @default.
• W4286212681 hasConcept C153083717 @default.
• W4286212681 hasConcept C169857963 @default.
• W4286212681 hasConcept C185429906 @default.
• W4286212681 hasConcept C191988596 @default.
• W4286212681 hasConcept C22679943 @default.
• W4286212681 hasConcept C30268764 @default.
• W4286212681 hasConcept C33923547 @default.
• W4286212681 hasConcept C48406656 @default.
• W4286212681 hasConcept C65778772 @default.
• W4286212681 hasConcept C87007009 @default.
• W4286212681 hasConcept C89128539 @default.
• W4286212681 hasConceptScore W4286212681C105795698 @default.
• W4286212681 hasConceptScore W4286212681C125918824 @default.
• W4286212681 hasConceptScore W4286212681C149782125 @default.
• W4286212681 hasConceptScore W4286212681C153083717 @default.
• W4286212681 hasConceptScore W4286212681C169857963 @default.
• W4286212681 hasConceptScore W4286212681C185429906 @default.
• W4286212681 hasConceptScore W4286212681C191988596 @default.
• W4286212681 hasConceptScore W4286212681C22679943 @default.
• W4286212681 hasConceptScore W4286212681C30268764 @default.
• W4286212681 hasConceptScore W4286212681C33923547 @default.
• W4286212681 hasConceptScore W4286212681C48406656 @default.
• W4286212681 hasConceptScore W4286212681C65778772 @default.
• W4286212681 hasConceptScore W4286212681C87007009 @default.
• W4286212681 hasConceptScore W4286212681C89128539 @default.
• W4286212681 hasIssue "14" @default.
• W4286212681 hasLocation W42862126811 @default.
• W4286212681 hasLocation W42862126812 @default.
• W4286212681 hasOpenAccess W4286212681 @default.
• W4286212681 hasPrimaryLocation W42862126811 @default.
• W4286212681 hasRelatedWork W1970221037 @default.
• W4286212681 hasRelatedWork W1973396910 @default.
• W4286212681 hasRelatedWork W2182828051 @default.
• W4286212681 hasRelatedWork W2185794042 @default.
• W4286212681 hasRelatedWork W2603021863 @default.
• W4286212681 hasRelatedWork W2952041194 @default.
• W4286212681 hasRelatedWork W3120197982 @default.
• W4286212681 hasRelatedWork W4286212681 @default.
• W4286212681 hasRelatedWork W4298099142 @default.
• W4286212681 hasRelatedWork W4382599617 @default.
• W4286212681 hasVolume "10" @default.
• W4286212681 isParatext "false" @default.
• W4286212681 isRetracted "false" @default.
• W4286212681 workType "article" @default.