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A central limit theorem for realised power and bipower variations of continuous semimartingales

Barndorff-Nielsen, Ole Eiler; Graversen, Svend Erik; … - 2004

Central limit theorem, quadratic variation, bipower variation

Persistent link: https://www.econbiz.de/10010296635

On the estimation of integrated volatility with jumps and microstructure noise

Jing, Bingyi; Liu, Zhi; Kong, Xinbing - In: Journal of business & economic statistics : JBES ; a … 32 (2014) 3, pp. 457-467

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Purely discontinuous Lévy processes and power variation : inference for integrated volatility and the scale parameter

Woerner, Jeannette H. C. - 2003

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Estimation of integrated volatility in stochastic volatility models

Woerner, Jeannette H. C. - 2003

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Variational sums and power variation : a unifying approach to model selection and estimation in semimartingale models

Woerner, Jeannette H. C. - 2002

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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

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

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Exercising control when confronted by a (Brownian) spider

Ernst, Philip - In: Operations research letters 44 (2016) 4, pp. 487-490

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Filtration shrinkage, the structure of deflators, and failure of market completeness

Kardaras, Constantinos; Ruf, Johannes - In: Finance and stochastics 24 (2020) 4, pp. 871-901

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Martingale regressions for a continuous time model of exchange rates

Guo, Zi-Yi - 2017 - This version: September 2017

One of the daunting problems in international finance is the weak explanatory power of existing theories of the nominal exchange rates, the so-called "foreign exchange rate determination puzzle". We propose a continuous-time model to study the impact of order flow on foreign exchange rates. The...

Persistent link: https://www.econbiz.de/10011729587