The leverage effect puzzle: Disentangling sources of bias at high frequency

Author:

Aït-Sahalia Yacine,Fan Jianqing,Li Yingying

Publisher

Elsevier BV

Subject

Strategy and Management,Economics and Econometrics,Finance,Accounting

Reference47 articles.

1. High-frequency covariance estimates with noisy and asynchronous data;Aït-Sahalia;Journal of the American Statistical Association,2010

2. Testing for jumps in a discretely observed process;Aït-Sahalia;Annals of Statistics,2009

3. Analyzing the Spectrum of Asset Returns: Jump and Volatility Components in High Frequency Data;Aït-Sahalia;Journal of Economic Literature,2012

4. Maximum likelihood estimation of stochastic volatility models;Aït-Sahalia;Journal of Financial Economics,2007

5. How often to sample a continuous-time process in the presence of market microstructure noise;Aït-Sahalia;Review of Financial Studies,2005

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