Sampling Returns for Realized Variance Calculations: Tick Time or Transaction Time?
Year of publication: |
2008
|
---|---|
Authors: | Griffin, Jim ; Oomen, Roel |
Published in: |
Econometric Reviews. - Taylor & Francis Journals, ISSN 0747-4938. - Vol. 27.2008, 1-3, p. 230-253
|
Publisher: |
Taylor & Francis Journals |
Subject: | Market microstructure noise | Optimal sampling | Pure jump process | Realized variance | Tick time | Transaction time |
-
Estimating Quadratic Variation When Quoted Prices Change by a Constant Increment
Large, Jeremy, (2007)
-
Estimating Quadratic Variation When Quoted Prices Jump by a Constant Increment
Large, Jeremy, (2005)
-
Bias-Correcting the Realized Range-Based Variance in the Presence of Market Microstructure Noise
Christensen, Kim, (2006)
- More ...
-
Sampling Returns for Realized Variance Calculations: Tick Time or Transaction Time?
Griffin, Jim, (2008)
-
Flexible modeling of dependence in volatility processes
Kalli, Maria, (2015)
-
Estimating the probability of informed trading : A Bayesian approach
Griffin, Jim, (2021)
- More ...