Holistic Multi-Scale Inference of the Leverage Effect: Efficiency under Dependent Microstructure Noise

SSRN Electronic Journal 2026 Preprint Open access

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Authors: Ziyang Xiong, Zhao Chen, Christian Dan Wang
DOI: 10.2139/ssrn.6338965
Cited by: 0
References: 34

Fields of Study & Subjects

Stochastic processes and financial applications Financial Risk and Volatility Modeling Financial Markets and Investment Strategies

Publication details

Journal / source
SSRN Electronic Journal
Publication date
1 January 2026
Language
EN
Document type
Preprint