The Leverage Effect Puzzle: Disentangling Sources of Bias at High Frequency
收藏数据链接：
官方服务：
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
