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首页> 外文期刊>Journal of financial economics >The leverage effect puzzle: Disentangling sources of bias at high frequency
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The leverage effect puzzle: Disentangling sources of bias at high frequency

机译：杠杆效应之谜：消除高频偏见的根源

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摘要

The leverage effect refers to the generally negative correlation between an asset return and its changes of volatility. A natural estimate consists in using the empirical correlation between the daily returns and the changes of daily volatility estimated from high frequency data. The puzzle lies in the fact that such an intuitively natural estimate yields nearly zero correlation for most assets tested, despite the many economic reasons for expecting the estimated correlation to be negative. To better understand the sources of the puzzle, we analyze the different asymptotic biases that are involved in high frequency estimation of the leverage effect, including biases due to discretization errors, to smoothing errors in estimating spot volatilities, to estimation error, and to market microstructure noise. This decomposition enables us to propose novel bias correction methods for estimating the leverage effect.
机译：杠杆效应是指资产收益与其波动率变化之间通常呈负相关。一个自然的估计包括利用从高频数据估计的每日收益率和每日波动率变化之间的经验相关性。令人困惑的事实是，尽管有许多经济上的原因期望估计的相关性为负，但这种直观的自然估计对于大多数测试资产而言却产生几乎为零的相关性。为了更好地理解难题的根源，我们分析了杠杆效应高频估计中涉及的不同渐近偏差，包括由于离散化误差，平滑估计点波动率的误差，估计误差以及市场微观结构引起的偏差。噪声。这种分解使我们能够提出新颖的偏差校正方法来估计杠杆效应。

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