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Search: subject:"quadratic variation"
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Quadratic variation
61
quadratic variation
54
Volatility
29
Quadratic Variation
26
Volatilität
24
Realised variance
20
realized volatility
18
jumps
17
Realised volatility
16
Semimartingale
15
Zeitreihenanalyse
15
Schätztheorie
13
Stochastic volatility
13
Theorie
13
Estimation theory
12
Time series analysis
12
Market frictions
11
semimartingale
11
Bipower Variation
10
Option pricing theory
10
Optionspreistheorie
10
Stochastic process
10
Stochastischer Prozess
10
Theory
10
market microstructure noise
10
realized variance
10
Bipower variation
9
Börsenkurs
9
Martingale
9
high-frequency data
9
Long run variance estimator
8
Market microstructure
8
Marktmikrostruktur
8
Share price
8
stochastic volatility
8
volatility forecasting
8
Martingal
7
Power variation
7
Varianzanalyse
7
bipower variation
7
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Online availability
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Free
98
Undetermined
40
CC license
1
Type of publication
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Book / Working Paper
103
Article
62
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Article in journal
26
Aufsatz in Zeitschrift
26
Working Paper
18
Arbeitspapier
7
Graue Literatur
7
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Language
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English
95
Undetermined
70
Author
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Shephard, Neil
48
Barndorff-Nielsen, Ole E.
38
Podolskij, Mark
15
Andersen, Torben G.
10
Bollerslev, Tim
10
Hansen, Peter Reinhard
10
Diebold, Francis X.
9
Lunde, Asger
9
Jacod, Jean
6
Ysusi, Carla
6
Christensen, Kim
5
Hautsch, Nikolaus
5
Kinnebrock, Silja
4
Vetter, Mathias
4
Wu, Jin
4
Fabbri, Giorgio
3
Forsyth, Peter
3
Graversen, Svend Erik
3
Kristoufek, Ladislav
3
Lee, Kyungsub
3
Russo, Francesco
3
Vácha, Lukáš
3
Windcliff, H.
3
Woerner, Jeannette H. C.
3
Andreou, Elena
2
Barndorff-Nielsen, Ole
2
Barndorff-Nielsen, Ole Eiler
2
Baruník, Jozef
2
Ghysels, Eric
2
Hayashi, Takaki
2
Horel, Guillaume
2
Huhtala, Heli
2
Jarrow, Robert A.
2
Kennedy, J. S.
2
Krasnovský, Pavol
2
Kwok, Simon Sai Man
2
Large, Jeremy
2
Lorig, Matthew
2
Martin, Gael M.
2
Nielsen, Bent
2
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Institution
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Department of Economics, Oxford University
22
Economics Group, Nuffield College, University of Oxford
16
School of Economics and Management, University of Aarhus
12
Center for Financial Studies
5
Institut für Wirtschafts- und Sozialstatistik, Universität Dortmund
4
Finance Research Centre, Oxford University
3
Banco de México
2
Centre Interuniversitaire de Recherche en Analyse des Organisations (CIRANO)
2
Cowles Foundation for Research in Economics, Yale University
2
Department of Econometrics and Business Statistics, Monash Business School
2
Department of Economics, University of Pennsylvania
2
HAL
2
Institut für Volkswirtschaftslehre, Christian-Albrechts-Universität Kiel
2
Central Bank of Cyprus
1
Centre d'Études des Politiques Économiques (EPEE), Université d'Évry Val d'Essonne
1
Ehrvervøkonomisk Institut, Institut for Økonomi
1
Institut de Recherche Économique et Sociale (IRES), École des Sciences Économiques de Louvain
1
Institute of Economic Research, Hitotsubashi University
1
Society for Computational Economics - SCE
1
Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät
1
Suomen Pankki
1
Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
1
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Economics Series Working Papers / Department of Economics, Oxford University
22
Economics Papers / Economics Group, Nuffield College, University of Oxford
16
CREATES Research Papers
12
CFS Working Paper Series
5
Finance and Stochastics
4
Stochastic Processes and their Applications
4
Technical Report
4
Technical Reports / Institut für Wirtschafts- und Sozialstatistik, Universität Dortmund
4
Applied mathematical finance
3
CFS Working Paper
3
Mathematical finance
3
OFRC Working Papers Series
3
Statistical Inference for Stochastic Processes
3
CIRANO Working Papers
2
Cowles Foundation Discussion Papers
2
FinMaP-Working Paper
2
FinMaP-Working Papers
2
Finmap working paper
2
International Journal of Monetary Economics and Finance
2
International Journal of Theoretical and Applied Finance (IJTAF)
2
International journal of theoretical and applied finance
2
Journal of financial econometrics : official journal of the Society for Financial Econometrics
2
Monash Econometrics and Business Statistics Working Papers
2
PIER Working Paper Archive
2
Post-Print / HAL
2
Working Papers / Banco de México
2
Annals of the Institute of Statistical Mathematics
1
Applied Mathematical Finance
1
Applied economics
1
Bank of Finland Research Discussion Papers
1
Borsa Istanbul Review
1
CFS working paper series
1
Computational Statistics & Data Analysis
1
Computational economics
1
Computing in Economics and Finance 2005
1
Discussion Papers (IRES - Institut de Recherches Economiques et Sociales)
1
Discussion paper / Institut de Recherches Économiques et Sociales de l'Université Catholique de Louvain
1
Documents de recherche
1
Econometric Reviews
1
Econometric reviews
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Source
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RePEc
113
ECONIS (ZBW)
33
EconStor
12
BASE
7
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1
Empirical evaluation of competing high-frequency estimators of
quadratic
variation
Bowers, Colin
;
Heaton, Christopher
- In:
Journal of financial econometrics
23
(
2025
)
3
,
pp. 1-28
Persistent link: https://www.econbiz.de/10015425421
Saved in:
2
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
Saved in:
3
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
Saved in:
4
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
Saved in:
5
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
Saved in:
6
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
Saved in:
7
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
Saved in:
8
Infinite dimensional weak Dirichlet processes and convolution type processes
Fabbri, Giorgio
;
Russo, Francesco
-
2016
Persistent link: https://www.econbiz.de/10011700694
Saved in:
9
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
Saved in:
10
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
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