Estimating quadratic variation when quoted prices change by a constant increment (Q737253)
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scientific article; zbMATH DE number 6610557
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| English | Estimating quadratic variation when quoted prices change by a constant increment |
scientific article; zbMATH DE number 6610557 |
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Estimating quadratic variation when quoted prices change by a constant increment (English)
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10 August 2016
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realized volatility
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realized variance
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quadratic variation
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market microstructure
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high-frequency data
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pure jump process
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0.8062742948532104
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0.7988643050193787
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0.7925808429718018
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0.7815561294555664
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