Estimating quadratic variation when quoted prices change by a constant increment
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Cites work
- scientific article; zbMATH DE number 942202 (Why is no real title available?)
- scientific article; zbMATH DE number 2230347 (Why is no real title available?)
- A Partially Observed Model for Micromovement of Asset Prices with Bayes Estimation via Filtering
- A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
- A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices
- A Tale of Two Time Scales
- A central limit theorem for normalized functions of the increments of a diffusion process, in the presence of round-off errors
- Aggressive Orders and the Resiliency of a Limit Order Market*
- Are volatility estimators robust with respect to modeling assumptions?
- Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
- Discrete sine transform for multi-scale realized volatility measures
- Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
- Moving Average-Based Estimators of Integrated Variance
- Processes that can be embedded in Brownian motion
- Statistical methods in finance
Cited in
(14)- Are volatility estimators robust with respect to modeling assumptions?
- Data-based ranking of realised volatility estimators
- Volatility and covariation estimation when microstructure noise and trading times are endogenous
- Discussion of Aït-Sahalia and Barndorff-Nielsen and Shephard
- Realized Volatility: A Review
- Efficient estimation of integrated volatility incorporating trading information
- From zero-intelligence to queue-reactive: limit-order-book modeling for high-frequency volatility estimation and optimal execution
- Integrated volatility and round-off error
- Zero-intelligence realized variance estimation.
- A martingale decomposition of discrete Markov chains
- Testing for jumps when asset prices are observed with noise -- a ``swap variance approach
- A continuous and efficient fundamental price on the discrete order book grid
- Faster convergence to the estimation of quadratic variation with microstructure noise
- Central limit theorem for the realized volatility based on tick time sampling
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