The price-leverage covariation as a measure of the response of the leverage effect to price and volatility changes

DOI10.1002/ASMB.2672MaRDI QIDQ6580717FDOQ6580717

Authors Giacomo Toscano

Publication date 29 July 2024

Published in Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

zbMATH Keywords

leverage effectFourier analysisprice-leverage covariation

Mathematics Subject Classification ID

Statistics (62-XX)

Cites work

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