The leverage effect puzzle : disentangling sources of bias at high frequency
Yacine Aït-Sahalia; Jianqing Fan; Yingying Li
| 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
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| Subject: | High frequency data | Leverage effect | Market microstructure noise | Latent volatility | Correlation | Volatilität | Volatility | Kapitaleinkommen | Capital income | Theorie | Theory | Finanzmarkt | Financial market | Marktmikrostruktur | Market microstructure | Kapitalstruktur | Capital structure | Korrelation | Rendite | Yield | Börsenkurs | Share price |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10009765821