NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

The Leverage Effect Puzzle: Disentangling Sources of Bias at High Frequency

Yacine Ait-Sahalia, Jianqing Fan, Yingying Li

NBER Working Paper No. 17592
Issued in November 2011

---- Acknowledgements -----

Aït-Sahalia's research was supported by NSF grant SES-0850533. Fan's research was supported by NSF grants DMS-0714554 and DMS-0704337. Li's research was supported by the Bendheim Center for Finance at Princeton University and the RGC grant DAG09/10.BM12 at Hong Kong University of Science and Technology. The views expressed herein are those of the authors and do not necessarily reflect the views of the National Bureau of Economic Research.

return to bibliography page

 
Publications
Activities
Meetings
Data
People
About

Support
National Bureau of Economic Research, 1050 Massachusetts Ave., Cambridge, MA 02138; 617-868-3900; email: info@nber.org

Contact Us