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

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高频数据中的随机杠杆效应：基于傅里叶的分析

在随机波动率模型设置中分析随机杠杆效应，定义为收益与其相关波动率之间的标准化协变。使用回报和波动过程的傅立叶系数的预先估计来定义一种新的效应估计量。证明了估计量的一致性。此外，在存在微观结构噪声效应的情况下研究了其有限样本特性。傅里叶方法应用于 S&P500 期货价格，以研究在高频下可检测到的随机杠杆效应的大小。