Analysis of Leverage Effect Based on High Frequency Data with Rounding Error Market Microstructure Noise

LIN Fuming, ZHOU Yong

Acta Mathematicae Applicatae Sinica ›› 2021, Vol. 44 ›› Issue (1) : 16-30.

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中国科学院数学与系统科学研究院期刊网
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Acta Mathematicae Applicatae Sinica ›› 2021, Vol. 44 ›› Issue (1) : 16-30. DOI: 10.12387/C2021002

Analysis of Leverage Effect Based on High Frequency Data with Rounding Error Market Microstructure Noise

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{{article.zuoZheEn_L}}. {{article.title_en}}. Acta Mathematicae Applicatae Sinica, 2021, 44(1): 16-30 https://doi.org/10.12387/C2021002

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