Estimation of the discontinuous leverage effect: evidence from the NASDAQ order book (Q1740289)
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scientific article; zbMATH DE number 7049033
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| English | Estimation of the discontinuous leverage effect: evidence from the NASDAQ order book |
scientific article; zbMATH DE number 7049033 |
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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0.8271085619926453
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0.8003780245780945
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0.777900218963623
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0.7758634686470032
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