The leverage effect puzzle : disentangling sources of bias at high frequency
Year of publication: |
2013
|
---|---|
Authors: | Aït-Sahalia, Yacine ; Fan, Jianqing ; Li, Yingying |
Published in: |
Journal of financial economics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-405X, ZDB-ID 187118-3. - Vol. 109.2013, 1, p. 224-249
|
Subject: | High frequency data | Leverage effect | Market microstructure noise | Latent volatility | Correlation | Volatilität | Volatility | Kapitaleinkommen | Capital income | Finanzmarkt | Financial market | Kapitalstruktur | Capital structure | Marktmikrostruktur | Market microstructure | Theorie | Theory | Rendite | Yield | Börsenkurs | Share price |
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