Estimation of the discontinuous leverage effect : evidence from the NASDAQ order book
Markus Bibinger, Christopher Neely, Lars Winkelmann
| Year of publication: |
2019
|
|---|---|
| Authors: | Bibinger, Markus ; Neely, Christopher J. ; Winkelmann, Lars |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 209.2019, 2, p. 158-184
|
| Subject: | High-frequency data | Market microstructure | Market-wide jumps | News impact | Price jump | Volatility jump | Volatilität | Volatility | Marktmikrostruktur | Börsenkurs | Share price | Elektronisches Handelssystem | Electronic trading | Schätzung | Estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jeconom.2019.01.001 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012302583