Estimating Quadratic Variation Under Jumps and Micro-market Noise

Separating Information Maximum Likelihood Method for High-Frequency Financial Data - SpringerBriefs in Statistics ◽

10.1007/978-4-431-55930-6_9 ◽

2018 ◽

pp. 103-109

Author(s):

Naoto Kunitomo ◽

Seisho Sato ◽

Daisuke Kurisu

Keyword(s):

Quadratic Variation ◽

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Vega-Vanna-Volga Pricing of Claims on Exponential Quadratic Variation

SSRN Electronic Journal ◽

10.2139/ssrn.3425744 ◽

2019 ◽

Author(s):

Frido Rolloos

Keyword(s):

Quadratic Variation

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On estimation of quadratic variation for multivariate pure jump semimartingales

Stochastic Processes and their Applications ◽

10.1016/j.spa.2021.04.016 ◽

2021 ◽

Author(s):

Johannes Heiny ◽

Mark Podolskij

Keyword(s):

Quadratic Variation

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Quadratic Variation of Functionals of Brownian Motion

The Annals of Probability ◽

10.1214/aop/1176995717 ◽

1977 ◽

Vol 5 (5) ◽

pp. 756-769 ◽

Author(s):

Albert T. Wang

Keyword(s):

Brownian Motion ◽

Quadratic Variation

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Comparison Between the Mean-Variance Optimal and the Mean-Quadratic-Variation Optimal Trading Strategies

Applied Mathematical Finance ◽

10.1080/1350486x.2012.755817 ◽

2013 ◽

Vol 20 (5) ◽

pp. 415-449 ◽

Author(s):

S. T. Tse ◽

P. A. Forsyth ◽

J. S. Kennedy ◽

H. Windcliff

Keyword(s):

Quadratic Variation ◽

Trading Strategies ◽

Optimal Trading ◽

The Mean ◽

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Estimating quadratic variation using realized variance

Journal of Applied Econometrics ◽

10.1002/jae.691 ◽

2002 ◽

Vol 17 (5) ◽

pp. 457-477 ◽

Author(s):

Ole E. Barndorff-Nielsen ◽

Neil Shephard

Keyword(s):

Quadratic Variation ◽

Realized Variance

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Stochastic Integrals and Quadratic Variation

Probability and Its Applications - Foundations of Modern Probability ◽

10.1007/978-1-4757-4015-8_17 ◽

2002 ◽

pp. 329-349

Author(s):

Olav Kallenberg

Keyword(s):

Quadratic Variation ◽

Stochastic Integrals

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Multilevel Quadratic Variation Minimization for 3D Face Modeling and Virtual View Synthesis

11th International Multimedia Modelling Conference ◽

10.1109/mmmc.2005.55 ◽

2005 ◽

Author(s):

Xiaozheng Zhang ◽

Yongsheng Gao ◽

M.K.H. Leung

Keyword(s):

Quadratic Variation ◽

View Synthesis ◽

Face Modeling ◽

3D Face ◽

Virtual View Synthesis ◽

Virtual View ◽

3D Face Modeling

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Berry–Esséen bounds and almost sure CLT for the quadratic variation of the sub-fractional Brownian motion

Journal of Mathematical Analysis and Applications ◽

10.1016/j.jmaa.2010.10.002 ◽

2011 ◽

Vol 375 (2) ◽

pp. 667-676 ◽

Author(s):

Constantin Tudor

Keyword(s):

Brownian Motion ◽

Fractional Brownian Motion ◽

Quadratic Variation

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Quadratic Variation Process

Introduction to Stochastic Integration ◽

10.1007/978-1-4614-9587-1_4 ◽

2013 ◽

pp. 75-91

Author(s):

K. L. Chung ◽

R. J. Williams

Keyword(s):

Quadratic Variation ◽

Variation Process

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Polynomial-Time Approximation Scheme for a Problem of Searching for the Largest Subset with the Constraint on Quadratic Variation

Lecture Notes in Computer Science - Numerical Computations: Theory and Algorithms ◽

10.1007/978-3-030-40616-5_36 ◽

2020 ◽

pp. 400-405

Author(s):

Vladimir Khandeev

Keyword(s):

Polynomial Time ◽

Approximation Scheme ◽

Quadratic Variation ◽

Polynomial Time Approximation Scheme ◽

Time Approximation ◽

Polynomial Time Approximation

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