Estimating Quadratic Variation When Quoted Prices Change by a Constant Increment.
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 b...
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| Format: | Working paper |
| Language: | English |
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Department of Economics (University of Oxford)
2007
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