Leverage effect in high-frequency data with market microstructure

DOI10.4310/SII.2020.V13.N1.A8MaRDI QIDQ6096702

Yong Zhou, Yan Mu, Huiling Yuan

Publication date: 15 September 2023

Published in: Statistics and Its Interface (Search for Journal in Brave)

zbMATH Keywords

consistencyquadratic covariationmicrostructure noiseintegral volatility

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05) Statistics (62-XX)

This page was built for publication: Leverage effect in high-frequency data with market microstructure