{"title":"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","authors":"Giacomo Toscano","doi":"10.2139/ssrn.3776771","DOIUrl":null,"url":null,"abstract":"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.","PeriodicalId":11036,"journal":{"name":"Demand & Supply in Health Economics eJournal","volume":"46 1","pages":""},"PeriodicalIF":0.0000,"publicationDate":"2021-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"The Price-Leverage Covariation as a Measure of the Response of the Leverage Effect To Price and Volatility Changes\",\"authors\":\"Giacomo Toscano\",\"doi\":\"10.2139/ssrn.3776771\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"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.\",\"PeriodicalId\":11036,\"journal\":{\"name\":\"Demand & Supply in Health Economics eJournal\",\"volume\":\"46 1\",\"pages\":\"\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2021-02-01\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Demand & Supply in Health Economics eJournal\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.2139/ssrn.3776771\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Demand & Supply in Health Economics eJournal","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.3776771","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
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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