The estimation of leverage effect with high-frequency data
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Cited in
(38)- Tail behavior and dependence structure in the APARCH model
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- Estimation of the discontinuous leverage effect: evidence from the NASDAQ order book
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- Estimation of Leverage Effect: Kernel Function and Efficiency
- Heteroscedasticity test of high-frequency data with jumps and market microstructure noise
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- Local Parametric Estimation in High Frequency Data
- Statistical inference for GQARCH-Itô-jumps model based on the realized range volatility
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- Identifying the number of latent factors of stochastic volatility models
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- Cross-sectional dependence in idiosyncratic volatility
- Estimation of integrated volatility of volatility with applications to goodness-of-fit testing
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