The Estimation of Leverage Effect With High-Frequency Data
By Christina Dan Wang, Per Aslak Mykland. 2014
75 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/b93202e59b514c8da584b633d322361465a2fd6b
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Economics and Econometrics
In Finance
- Mathias Vetter
- Mark Podolskij
- Xinbing Kong
- Zhi Liu
- Bing-Yi Jing
- V. Todorov
- Jean Jacod
- Markus Bibinger
Citations in the corpus
- Estimation of integrated volatility of volatility with applications to goodness-of-fit testing (2011, background): “2), only [4] and [28] have discussed estimation of functionals of volatility of volatility.”