Search Results - subject:"Quadratic Variation"

A study on asset price bubble dynamics : explosive trend or quadratic variation?

Jarrow, Robert A.; Kwok, Simon Sai Man - In: Quantitative finance 24 (2024) 5, pp. 613-626

Persistent link: https://www.econbiz.de/10014552111

On the quadratic variation in limit order markets

Pani, Sudhanshu - In: Borsa Istanbul Review 24 (2024) 4, pp. 710-721

This paper explores the quadratic variation (QV) as an alternative measure to the bid-ask spread in limit order markets …

Persistent link: https://www.econbiz.de/10014635377

An explosion time characterization of asset price bubbles

Jarrow, Robert A.; Kwok, Simon Sai Man - In: International review of finance : the official journal … 23 (2023) 2, pp. 469-479

Persistent link: https://www.econbiz.de/10014326312

Rank-invariance conditions for the comparison of volatility forecasts

Palandri, Alessandro - In: The econometrics journal 25 (2022) 1, pp. 155-175

Persistent link: https://www.econbiz.de/10012878903

Analytic formula for option margin with liquidity costs under dynamic delta hedging

Lee, Kyungsub; Seo, Byoung Ki - In: Applied economics 53 (2021) 29, pp. 3391-3407

Persistent link: https://www.econbiz.de/10012589463

Semi-robust replication of barrier-style claims on price and volatility

Carr, Peter; Lee, Roger; Lorig, Matthew - In: Applied mathematical finance 28 (2021) 6, pp. 534-559

Persistent link: https://www.econbiz.de/10013411770

Infinite dimensional weak Dirichlet processes and convolution type processes

Fabbri, Giorgio; Russo, Francesco - 2016

Persistent link: https://www.econbiz.de/10011700694

Analysis of high frequency data in finance: a survey

Jiang, George J.; Pan, Guanzhong - In: Frontiers of economics in China : selected publications … 15 (2020) 2, pp. 141-166

Persistent link: https://www.econbiz.de/10012670616

Application of G-Brown motion in the stock price

Chai, Chuankang - In: Journal of mathematical finance 10 (2020) 1, pp. 27-34

Persistent link: https://www.econbiz.de/10012545304

Estimating the Value-at-Risk from High-frequency Data

Krasnovský, Pavol - In: European Financial and Accounting Journal 10 (2015) 2, pp. 5-11

We present two alternative approaches for estimating VaR. Both approaches are based on the observation that each trading day is very diverse and we can observe K different phases of the trading day. We can not observe from which of the K phases our observations rt are. Therefore, we apply Gibbs...

Persistent link: https://www.econbiz.de/10011478756