English, Article, Journal or magazine article edition: Estimating Quadratic Variation When Quoted Prices Change by a Constant Increment Jeremy Large

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Bookmark: http://trove.nla.gov.au/version/20294
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Estimating Quadratic Variation When Quoted Prices Change by a Constant Increment
Author
  • Jeremy Large
Physical Description
  • preprint
Notes
  • For financial assets whose best quotes almost always change by jumping by the market`s price tick size (one cent, five cents, etc.), this paper proposes an estimator of Quadratic Variation which controls for microstructure effects. It measures the prevalence of alternations, where quotes jump back to their just-previous price. It defines a simple property called "uncorrelated alternation", which under conditions implies that the estimator is consistent in an asymptotic limit theory, where jumps become very frequent and small. Feasible limit theory is developed, and in simulations works well.
  • Realized Volatility, Realized Variance, Quadratic Variation, Market Microstructure, High-Frequency Data, Prue Jump Process
  • RePEc:oxf:wpaper:340
Language
  • English
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