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