Estimation of the discontinuous leverage effect: evidence from the NASDAQ order book (Q1740289)
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scientific article
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| English | 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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