Correction to "Leverage and volatility feedback effects in high-frequency data" [J. Financial Econometrics 4 (2006) 353--384]

Details Correction to "Leverage and volatility feedback effects in high-frequency data" [J. Financial Econometrics 4 (2006) 353--384] Correction to "Leverage and volatility feedback effects in high-frequency data" [J. Financial Econometrics 4 (2006) 353--384]

2009-02-04

arxiv.org/abs/0902.0713v1

Economy

Quantitative Finance

Statistical Finance

3 pages

Scientific paper

Bollerslev et al. (2006) study the cross-covariances for squared returns under the Heston (1993) stochastic volatility model. In order to obtain these cross-covariances the authors use an incorrect expression for the distribution of the squared returns. Here we will obtain the correct distribution of the squared returns and check that, under this new distribution, the result in Appendix A.2 in Bollerslev et al. (2006) still holds.

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