Estimation of the discontinuous leverage effect: evidence from the NASDAQ order book (Q1740289): Difference between revisions
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| Property / DOI: 10.1016/j.jeconom.2019.01.001 / rank | |||
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| Property / DOI: 10.1016/J.JECONOM.2019.01.001 / rank | |||
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Latest revision as of 07:16, 11 December 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Estimation of the discontinuous leverage effect: evidence from the NASDAQ order book |
scientific article |
Statements
Estimation of the discontinuous leverage effect: evidence from the NASDAQ order book (English)
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30 April 2019
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high-frequency data
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market microstructure
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news impact
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market-wide jumps
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price jump
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volatility jump
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