Estimating quadratic variation when quoted prices jump by a constant increment
Year of publication: |
2005-11-10
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Authors: | Large, Jeremy |
Institutions: | Economics Group, Nuffield College, University of Oxford |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Number 2005-W05 43 pages |
Classification: | C10 - Econometric and Statistical Methods: General. General ; C22 - Time-Series Models ; C80 - Data Collection and Data Estimation Methodology; Computer Programs. General |
Source: |
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