THE LEVERAGE EFFECT PUZZLE: DISENTANGLING SOURCES OF BIAS AT HIGH FREQUENCY
| Year of publication: |
2011
|
|---|---|
| Authors: | Ait-Sahalia, Yacine ; Fan, Jianqing ; Li, Yingying |
| Published in: |
Working paper / National Bureau of Economic Research, Inc. - Cambridge, Mass, ISSN 0898-2937, ZDB-ID 12239057. - 2011, 17592
|