The Leverage Effect Puzzle: Disentangling Sources of Bias at High Frequency
收藏NBER2011-11-01 更新2025-01-04 收录
下载链接：
https://www.nber.org/papers/w17592
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资源简介：
The leverage effect refers to the generally negative correlation between an asset return and its changes of volatility. A natural estimate consists in using the empirical correlation between the daily returns and the changes of daily volatility estimated from high-frequency data. The puzzle lies in
提供机构：
美国国家经济研究局
创建时间：
2011-11-01
