Open AccessThe Leverage Effect Puzzle: Disentangling Sources of Bias at High Frequency
Author(s) -
Yacine Aı̈t-Sahalia,
Jianqing Fan,
Yingying Li
Publication year - 2011
Language(s) - English
Resource type - Reports
DOI - 10.3386/w17592
Subject(s) - leverage (statistics) , econometrics , computer science , economics , artificial intelligence