The estimation of leverage effect with high-frequency data (Q4975343)
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scientific article; zbMATH DE number 6756864
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| English | The estimation of leverage effect with high-frequency data |
scientific article; zbMATH DE number 6756864 |
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The Estimation of Leverage Effect With High-Frequency Data (English)
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4 August 2017
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consistency
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discrete observation
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efficiency
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Itô process
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microstructure noise
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realized volatility
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skewness
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stable convergence
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0.8116396069526672
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0.8103166818618774
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0.8068119287490845
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0.7758634686470032
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0.7733435034751892
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