摘要 : This article examines the leverage effect, or the generally negative covariation between asset returns and their changes in volatility, under a general setup that allows the log-price and volatility processes to be Ito semimarting... 展开
作者 | Ait-Sahalia~ Yacine Fan~ Jianqing Laeven~ Roger J. A. Wang~ Christina Dan Yang~ Xiye |
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作者单位 | |
期刊名称 | 《Journal of the American statistical association》 |
页码/总页数 | 1744-1758 / 15 |
语种/中图分类号 | 英语 / C8 |
关键词 | Co-jumps High-frequency data Integrated volatility Jumps Market microstructure noise Spot volatility |
DOI | 10.1080/01621459.2016.1240082 |
馆藏号 | C-079 |