Estimation of the discontinuous leverage effect: evidence from the NASDAQ order book (Q1740289)

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Estimation of the discontinuous leverage effect: evidence from the NASDAQ order book
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    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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