The Estimation of Leverage Effect With High-Frequency Data
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Publication:4975343
DOI10.1080/01621459.2013.864189zbMath1367.62286OpenAlexW3124314025MaRDI QIDQ4975343
Per Aslak Mykland, Christina Dan Wang
Publication date: 4 August 2017
Published in: Journal of the American Statistical Association (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/01621459.2013.864189
consistencyefficiencyskewnessstable convergencerealized volatilityItô processmicrostructure noisediscrete observation
Density estimation (62G07) Asymptotic properties of nonparametric inference (62G20) Applications of statistics to actuarial sciences and financial mathematics (62P05)
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