English (United Kingdom)

https://curated-unify.zendy.io/wp-json/zendy-region/v1/featured_content/oa?rat=en

https://curated-unify.zendy.io/wp-json/zendy-region/v1/highlighted_journal/

Global: Zendy Tools annual

Presents the keyphrase highlighting as premium feature

Keyphrase Highlighting

Presents the summarisation as premium feature

Summarisation

Insights

Presents the pdf analysis as premium feature

PDF Analysis

Presents the zaia usage as premium feature

ZAIA

Global: Zendy Tools monthly

Global: Zendy Plus monthly

Presents the access of premium content as premium feature

Premium Content

Global: Zendy Plus annual

Global: Zendy Free Plan

The stochastic leverage effect, defined as the standardized covariationbetween the returns and their related volatility, is analyzed in a stochasticvolatility model set-up. A novel estimator of the effect is defined using apre-estimation of the Fourier coefficients of the return and the volatilityprocesses. The consistency of the estimator is proven. Moreover, its finitesample properties are studied in the presence of microstructure noise effects.The Fourier methodology is applied to S\&P500 futures prices to investigate themagnitude of the stochastic leverage effect detectable at high-frequency.

Stochastic leverage effect in high-frequency data: a Fourier based analysis