Estimating quadratic variation when quoted prices change by a constant increment
DOI10.1016/J.JECONOM.2010.03.007zbMATH Open1441.62788OpenAlexW3021711745MaRDI QIDQ737253FDOQ737253
Authors: 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
Recommendations
- Estimating quadratic variation consistently in the presence of endogenous and diurnal measurement error
- Spectral analysis of quadratic variation in the presence of market microstructure noise
- Faster convergence to the estimation of quadratic variation with microstructure noise
- Discussion of Aït-Sahalia and Barndorff-Nielsen and Shephard
- Estimation of volatility functionals in the simultaneous presence of microstructure noise and jumps
realized volatilityquadratic variationmarket microstructurehigh-frequency datarealized variancepure jump process
Applications of statistics to economics (62P20) Applications of statistics to actuarial sciences and financial mathematics (62P05)
Cites Work
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- A Tale of Two Time Scales
- Statistical methods in finance
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- Moving Average-Based Estimators of Integrated Variance
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- A Partially Observed Model for Micromovement of Asset Prices with Bayes Estimation via Filtering
- Discrete sine transform for multi-scale realized volatility measures
- Aggressive Orders and the Resiliency of a Limit Order Market*
Cited In (14)
- Realized Volatility: A Review
- Central limit theorem for the realized volatility based on tick time sampling
- Faster convergence to the estimation of quadratic variation with microstructure noise
- Zero-intelligence realized variance estimation.
- Testing for jumps when asset prices are observed with noise -- a ``swap variance approach
- From zero-intelligence to queue-reactive: limit-order-book modeling for high-frequency volatility estimation and optimal execution
- Efficient estimation of integrated volatility incorporating trading information
- A continuous and efficient fundamental price on the discrete order book grid
- Integrated volatility and round-off error
- Volatility and covariation estimation when microstructure noise and trading times are endogenous
- Discussion of Aït-Sahalia and Barndorff-Nielsen and Shephard
- Data-based ranking of realised volatility estimators
- Are volatility estimators robust with respect to modeling assumptions?
- A martingale decomposition of discrete Markov chains
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