Results 291 to 300 of about 425,737 (311)
Quantum refrigeration powered by noise in a superconducting circuit. [PDF]
Nat CommunSundelin S +4 more
europepmc +1 more source
Realized Variance and Market Microstructure Noise: Comment.
, 2016 Barndorff-Nielsen, O, Shephard, N
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Realized variance, realized range and daily range as estimators for the volatility
, 2009 openaire +1 more source
Bias-Corrected Realized Variance under Dependent Microstructure Noise
Bias-Corrected Realized Variance under Dependent Microstructure Noiseopenaire
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Zero-intelligence realized variance estimation
Finance and Stochastics, 2010This paper compares a comprehensive set of ``second generation'' realized variance measures using a simulated ``zero-intelligence'' order book market. The emphasis of this investigation lies on statistical efficiency, implementation, and robustness. An important aspect of the analysis is the focus on data sampling.
Gatheral, J., Oomen, R.C.A.
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Pricing Options on Realized Variance
SSRN Electronic Journal, 2005Models which hypothesize that returns are pure jump processes with independent increments have been shown to be capable of capturing the observed variation of market prices of vanilla stock options across strike and maturity. In this paper, these models are employed to derive in closed form the prices of derivatives written on future realized quadratic
Yor, Marc +3 more
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Bias-corrected realized variance
Econometric Reviews, 2016ABSTRACTWe propose a novel “bias-corrected realized variance” (BCRV) estimator based upon the appropriate re-weighting of two realized variances calculated at different sampling frequencies. Our bias-correction methodology is found to be extremely accurate, with the finite sample variance being significantly minimized.
Jin-Huei Yeh, Jying-Nan Wang
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Volatility Swaps and Variance Options on Discretely Sampled Realized Variance
SSRN Electronic Journal, 2013Volatility swaps and variance options are financial products written on discretely sampled realized variance. Actively traded in over-the-counter markets, these products are priced often by a continuously sampled approximation to simplify the computations. This paper presents an analytical approach to efficiently and accurately price discretely sampled
Carl Chiarella +2 more
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Improved Forecasting of Realized Variance Measures
SSRN Electronic Journal, 2016We consider the problem of forecasting realized variance measures. These measures are highly persistent, but also noisy estimates of the underlying integrated variance. Recently, Bollerslev, Patton and Quaedvlieg (2016, Journal of Econometrics, 192, 1-18) exploited this fact to extend the commonly used Heterogeneous Autoregressive (HAR) by letting the ...
Jeremias Bekierman, Hans Manner
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