Estimating quadratic variation when quoted prices change by a constant increment (Q737253): Difference between revisions

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+Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
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+Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
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+Q4714465
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+A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices
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+Discrete sine transform for multi-scale realized volatility measures
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+Aggressive Orders and the Resiliency of a Limit Order Market*
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+A central limit theorem for normalized functions of the increments of a diffusion process, in the presence of round-off errors
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+Statistical methods in finance
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+Moving Average-Based Estimators of Integrated Variance
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+Are volatility estimators robust with respect to modeling assumptions?
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+Processes that can be embedded in Brownian motion
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+A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
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+Q5708631
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+A Partially Observed Model for Micromovement of Asset Prices with Bayes Estimation via Filtering
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+A Tale of Two Time Scales
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