We study the finite sample properti

We study the finite sample properties of the Fourier estimator of the integrated leverage effect in the presence of microstructure noise contamination. Our estimation strategy is related to a measure of the contemporaneous correlation between financial 回报 and their volatility increments. We do not prior assume that the aforementioned correlation is constant, as mainly done in the literature. We instead consider it as a stochastic process. In this framework, we show that the Fourier estimator is asymptotically unbiased but its mean squared error diverges when noisy high-frequency data are in use. This drawback of the estimator is further analyzed in a simulation study where a feasible estimation strategy is developed to tackle this problem. The paper concludes with an empirical study on the leverage effect patterns estimated using high-frequency data for the S&P 500 期货 between January 2007 and December 2008. △ Less