Leverage Effect

2023

• Estimation of Leverage Effect: Kernel Function and Efficiency
  

          Xiye Yang
         Journal of Business & Economic Statistics, 2023, 41, 939-956.

2017

• Estimation of the Continuous and Discontinuous Leverage Effects
  

          Yacine Aït-Sahalia, Jianqing Fan, Roger J. A. Laeven, Christina Dan Wang, and Xiye Yang
         Journal of the American Statistical Association, 2017, 112, 1744-1758.