Estimation of the discontinuous leverage effect: Evidence from the NASDAQ order book

Author:

Bibinger Markus,Neely Christopher,Winkelmann Lars

Publisher

Elsevier BV

Subject

Applied Mathematics,Economics and Econometrics

Reference47 articles.

1. Estimation of the continuous and discontinuous leverage effect;Aït-Sahalia;J. Amer. Statist. Assoc.,2017

2. The leverage effect puzzle: Disentangling sources of bias at high frequency;Aït-Sahalia;J. Financ. Econ.,2013

3. High-Frequency Financial Econometrics;Aït-Sahalia,2014

4. A Hausman test for the presence of market microstructure noise in high frequency data;Aït-Sahalia;J. Econometrics,2017

5. Functional stable limit theorems for quasi-efficient spectral covolatility estimators;Altmeyer;Stochastic Process. Appl.,2015

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