The Price-Leverage Covariation as a Measure of the Response of the Leverage Effect To Price and Volatility Changes: Empirical Evidence-Reference-Cited by-同舟云学术

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The Price-Leverage Covariation as a Measure of the Response of the Leverage Effect To Price and Volatility Changes: Empirical Evidence

Published:2021 Issue: Volume: Page:
ISSN:1556-5068
Container-title:SSRN Electronic Journal
language:en
Short-container-title:SSRN Journal

Author:

Toscano Giacomo

Publisher

Elsevier BV

Reference43 articles.

1. Estimation of the continuous and discontinuous leverage effects;Y A�?ta�?t-Sahalia;Journal of the American Statistical Association,2017

2. The leverage effect puzzle: disentangling sources of bias at high frequency;Y A�?ta�?t-Sahalia;Journal of Financial Economics,2013

3. Time-varying leverage effects;F Bandi;Journal of Econometrics,2012

4. The price volatility feedback rate: an implementable mathematical indicator of market stability;E Barucci;Mathematical Finance,2003

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