Estimating quadratic variation when quoted prices change by a constant increment
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- Jeremy Large, 2007. "Estimating Quadratic Variation When Quoted Prices Change by a Constant Increment," Economics Series Working Papers 340, University of Oxford, Department of Economics.
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Citations
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Cited by:- Hansen, Peter Reinhard, 2015.
"A martingale decomposition of discrete Markov chains,"
Economics Letters, Elsevier, vol. 133(C), pages 14-18.
- Peter Reinhard Hansen, 2015. "A Martingale Decomposition of Discrete Markov Chains," CREATES Research Papers 2015-18, Department of Economics and Business Economics, Aarhus University.
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"Econometric analysis of multivariate realised QML: efficient positive semi-definite estimators of the covariation of equity prices,"
Economics Papers
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More about this item
Keywords
Realized volatility Realized variance Quadratic variation Market microstructure High-frequency data Pure jump process;JEL classification:
- C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C80 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - General
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