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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