The Estimation of Leverage Effect With High-Frequency Data

Author： Wang Christina D.   Mykland Per A.  

Publisher： Taylor & Francis Ltd

ISSN： 0162-1459

Source： Journal of the American Statistical Association, Vol.109, Iss.505, 2014-01, pp. : 197-215

Disclaimer: Any content in publications that violate the sovereignty, the constitution or regulations of the PRC is not accepted or approved by CNPIEC.

Previous Menu Next

Related content

On Estimating the Integrated Co-Volatility Using Noisy High-Frequency Data with Jumps

By Jing Bing-Yi   Li Cui-Xia   Liu Zhi  

Communications in Statistics: Theory and Methods, Vol. 42, Iss. 21, 2013-11 ,pp. : 3889-3901

Taylor & Francis Ltd

Access to resources Recommend Favorite

Measuring Downside Risk Using High-Frequency Data: Realized Downside Risk Measure

By Bi Tao  

Communications in Statistics: Simulation and Computation, Vol. 42, Iss. 4, 2013-04 ,pp. : 741-754

Taylor & Francis Ltd

Access to resources Recommend Favorite

Estimating the Jump Activity Index Under Noisy Observations Using High-Frequency Data

By Jing Bing-Yi   Kong Xin-Bing   Liu Zhi  

Journal of the American Statistical Association, Vol. 106, Iss. 494, 2011-06 ,pp. : 558-568

Taylor & Francis Ltd

Access to resources Recommend Favorite

Econometric analysis of high frequency data

By Herwartz Helmut  

Allgemeines Statistisches Archiv, Vol. 90, Iss. 1, 2006-03 ,pp. : 89-104

Springer Publishing Company

Access to resources Recommend Favorite

Efficient Estimation and Robust Inference of Linear Regression Models in the Presence of Heteroscedastic Errors and High Leverage Points

By Aslam Muhammad  

Communications in Statistics: Simulation and Computation, Vol. 42, Iss. 10, 2013-11 ,pp. : 2223-2238

Taylor & Francis Ltd

Access to resources Recommend Favorite