We analyse the stochastic leverage effect, which is defined as the instantaneous correlation between the returns and their related volatility increments, in a stochastic volatility model set-up. We define a novel estimator of the effect which is based on a pre-estimation of the Fourier coefficients of the return and of the volatility process as defined in Malliavin and Mancino (2002). We establish the consistency of the estimator and we analyse its finite sample performance in the presence of microstructure noise contamination. When applying our methodology to real data, our results provide evidence of the presence of the stochastic leverage effect  .
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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instantaneous correlation
standardized covariation
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increments,
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We define a
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of the volatility process as defined in Malliavin and Mancino (2002). We establish the
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performance
properties are studied
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contamination. When applying our methodology to real data, our results provide evidence of the presence
effects. The Fourier methodology is applied to S\&P500 futures prices to investigate the magnitude
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detectable at high-frequency