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Fan, Jianqing
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The leverage effect puzzle: Disentangling sources of bias at high frequency
Aït-Sahalia, Yacine
;
Fan, Jianqing
;
Li, Yingying
- In:
Journal of financial economics
109
(
2013
)
1
,
pp. 224-249
Persistent link: https://www.econbiz.de/10010122976
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Vast Volatility Matrix Estimation Using High-Frequency Data for Portfolio Selection
Fan, Jianqing
;
Li, Yingying
;
Yu, Ke
- In:
Journal of the American Statistical Association : JASA
107
(
2012
)
497
,
pp. 412-429
Persistent link: https://www.econbiz.de/10009981416
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THE LEVERAGE EFFECT PUZZLE: DISENTANGLING SOURCES OF BIAS AT HIGH FREQUENCY
Ait-Sahalia, Yacine
;
Fan, Jianqing
;
Li, Yingying
-
2011
Persistent link: https://www.econbiz.de/10009833031
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