The Estimation of Leverage Effect With High-Frequency Data

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

zbMATH Keywords

consistencyefficiencyskewnessstable convergencerealized volatilityItô processmicrostructure noisediscrete observation

Mathematics Subject Classification ID

Density estimation (62G07) Asymptotic properties of nonparametric inference (62G20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Uses Software

• alr3

Cites Work

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