价格-杠杆协变作为杠杆效应对价格和波动率变化响应的测度

Giacomo Toscano
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引用次数: 0

摘要

我们研究了杠杆效应对波动率和价格变化的敏感性,表明在随机波动率和水平相关波动率的情况下,波动率和价格-杠杆协变之间存在分析联系。从金融角度来看,我们获得的结果允许将价格-杠杆协变解释为杠杆效应对价格和波动性变化的响应性的衡量标准。通过对2018年3月至2018年4月期间标普500高频价格的非参数傅里叶估计进行的实证研究,支持了对价格-杠杆协变作用的解释。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
The Price-Leverage Covariation as a Measure of the Response of the Leverage Effect To Price and Volatility Changes
We study the sensitivity of the leverage effect to changes in the volatility and the price, showing the existence of an analytical link between the latter and the price-leverage covariation in settings with, respectively, stochastic and level-dependent volatility. From the financial standpoint, the results we obtain allow for the interpretation of the price-leverage covariation as a gauge of the responsiveness of the leverage effect to price and volatility changes. The empirical study of S&P500 high-frequency prices over the period March, 2018-April, 2018, carried out by means of non-parametric Fourier estimators, supports this interpretation of the role of the price-leverage covariation.
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