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

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Publication:1740289

DOI10.1016/j.jeconom.2019.01.001zbMath1452.62744arXiv1704.06537OpenAlexW2609798127WikidataQ128553485 ScholiaQ128553485MaRDI QIDQ1740289

Markus Bibinger, Lars Winkelmann, Christopher J. Neely

Publication date: 30 April 2019

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1704.06537




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