Nonparametric Estimation of the Leverage Effect: A Trade-Off Between Robustness and Efficiency

Kalnina, I; Xiu, D; (2017) Nonparametric Estimation of the Leverage Effect: A Trade-Off Between Robustness and Efficiency. Journal of the American Statistical Association , 112 (517) pp. 384-396. 10.1080/01621459.2016.1141687 .

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