Estimation of the discontinuous leverage effect: evidence from the NASDAQ order book (Q1740289)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Estimation of the discontinuous leverage effect: evidence from the NASDAQ order book |
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)
0 references
30 April 2019
0 references
high-frequency data
0 references
market microstructure
0 references
news impact
0 references
market-wide jumps
0 references
price jump
0 references
volatility jump
0 references
