Leverage Effect

2023

• Estimation of Leverage Effect: Kernel Function and Efficiency
  

          Xiye Yang
          Journal of Business & Economic Statistics, 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, 112,1744-1758.