Leverage effect in high-frequency data with market microstructure (Q6096702)
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scientific article; zbMATH DE number 7737974
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Leverage effect in high-frequency data with market microstructure |
scientific article; zbMATH DE number 7737974 |
Statements
Leverage effect in high-frequency data with market microstructure (English)
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15 September 2023
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quadratic covariation
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integral volatility
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microstructure noise
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consistency
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