Estimating quadratic variation when quoted prices change by a constant increment

DOI10.1016/j.jeconom.2010.03.007zbMath1441.62788OpenAlexW3021711745MaRDI QIDQ737253

Jeremy Large

Publication date: 10 August 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://ora.ox.ac.uk/objects/uuid:132b0f03-c33e-4065-884e-bb85c49e6af7

zbMATH Keywords

high-frequency dataquadratic variationmarket microstructurerealized volatilityrealized variancepure jump process

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (12)

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