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

From MaRDI portal
Revision as of 07:16, 11 December 2024 by Import241208061232 (talk | contribs) (Normalize DOI.)
(diff) ← Older revision | Latest revision (diff) | Newer revision → (diff)
scientific article
Language Label Description Also known as
English
Estimation of the discontinuous leverage effect: evidence from the NASDAQ order book
scientific article

    Statements

    title
    Estimation of the discontinuous leverage effect: evidence from the NASDAQ order book (English)
    0 references
    author
    Markus Bibinger
    0 references
    Lars Winkelmann
    0 references
    Christopher J. Neely
    0 references
    publication date
    30 April 2019
    0 references
    zbMATH Keywords
    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
    cites work
    Q5495335
    0 references
    Q4322338
    0 references
    Jump Regressions
    0 references
    Volatility Jumps
    0 references

    Identifiers

    zbMATH DE Number
    7049033
    0 references
    OpenAlex ID
    W2609798127
    0 references
    arXiv ID
    1704.06537
    0 references
    Wikidata QID
    Q128553485
    0 references
     
    Retrieved from "https://portal.mardi4nfdi.de/w/index.php?title=Item:Q1740289&oldid=38723040"
    Powered by MediaWiki