The leverage effect puzzle revisited: identification in discrete time
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Publication:2190223
DOI10.1016/j.jeconom.2019.12.003zbMath1456.91121OpenAlexW3002490637WikidataQ126303107 ScholiaQ126303107MaRDI QIDQ2190223
Eric Renault, Hyojin Han, Stanislav Khrapov
Publication date: 18 June 2020
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: http://wrap.warwick.ac.uk/128359/1/WRAP-leverage-e%EF%AC%80ect-puzzle-revisited-identi%EF%AC%81cation-discrete-time-Renault-2019.pdf
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84) Derivative securities (option pricing, hedging, etc.) (91G20)
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