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You searched for subject:(Bipower variation). Showing records 1 – 4 of 4 total matches.

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Universidade do Rio Grande do Sul

1. Marmitt, Juliano. Dados de alta frequência : averiguando o impacto de microestrutura de mercado e sazonalidade intradiária na detecção de saltos e estimação da variação quadrática.

Degree: 2012, Universidade do Rio Grande do Sul

Neste trabalho, visamos mostrar as características usuais dos dados de alta frequência, bem como utilizar modelagem não paramétrica para estimar a variância/volatilidade para esses dados.… (more)

Subjects/Keywords: Econometria; Market microstructure; Estimação; Intraday seasonality; Volatilidade; Quadratic variation; Realized variance; Realized volatility; Bipower variation; Jumps; High-frequency data

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

Marmitt, J. (2012). Dados de alta frequência : averiguando o impacto de microestrutura de mercado e sazonalidade intradiária na detecção de saltos e estimação da variação quadrática. (Thesis). Universidade do Rio Grande do Sul. Retrieved from http://hdl.handle.net/10183/61935

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Marmitt, Juliano. “Dados de alta frequência : averiguando o impacto de microestrutura de mercado e sazonalidade intradiária na detecção de saltos e estimação da variação quadrática.” 2012. Thesis, Universidade do Rio Grande do Sul. Accessed November 28, 2020. http://hdl.handle.net/10183/61935.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Marmitt, Juliano. “Dados de alta frequência : averiguando o impacto de microestrutura de mercado e sazonalidade intradiária na detecção de saltos e estimação da variação quadrática.” 2012. Web. 28 Nov 2020.

Vancouver:

Marmitt J. Dados de alta frequência : averiguando o impacto de microestrutura de mercado e sazonalidade intradiária na detecção de saltos e estimação da variação quadrática. [Internet] [Thesis]. Universidade do Rio Grande do Sul; 2012. [cited 2020 Nov 28]. Available from: http://hdl.handle.net/10183/61935.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Marmitt J. Dados de alta frequência : averiguando o impacto de microestrutura de mercado e sazonalidade intradiária na detecção de saltos e estimação da variação quadrática. [Thesis]. Universidade do Rio Grande do Sul; 2012. Available from: http://hdl.handle.net/10183/61935

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation


Duke University

2. Huang, Xin. Financial Market Volatility and Jumps .

Degree: 2007, Duke University

 This dissertation consists of three related chapters that study financial market volatility, jumps and the economic factors behind them. Each of the chapters analyzes a… (more)

Subjects/Keywords: Stochastic Volatility; Jump; Realized Variance; Bipower Variation; Macroeconomic News Announcements; Economic Derivatives

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

Huang, X. (2007). Financial Market Volatility and Jumps . (Thesis). Duke University. Retrieved from http://hdl.handle.net/10161/194

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Huang, Xin. “Financial Market Volatility and Jumps .” 2007. Thesis, Duke University. Accessed November 28, 2020. http://hdl.handle.net/10161/194.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Huang, Xin. “Financial Market Volatility and Jumps .” 2007. Web. 28 Nov 2020.

Vancouver:

Huang X. Financial Market Volatility and Jumps . [Internet] [Thesis]. Duke University; 2007. [cited 2020 Nov 28]. Available from: http://hdl.handle.net/10161/194.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Huang X. Financial Market Volatility and Jumps . [Thesis]. Duke University; 2007. Available from: http://hdl.handle.net/10161/194

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

3. Thea, André. Estimating Jump Variation under Noise with High-Frequency Data.

Degree: 2017, University of Vienna

Mit Hilfe der neuesten Vor-Mittelwert-Techniken, um Mikrostruktur-Effekte und Ausreisser zu reinigen, verwenden wir Tick-Level-Daten (aufgezeichnet in Millisekunden Genauigkeit), um die Volatilität zu messen. Wir schätzen… (more)

Subjects/Keywords: 83.52 Finanzwissenschaft; 31.73 Mathematische Statistik; Hochfrequenzdaten / Sprungvariation / Pre-averaging / Realisierte Variation / Bipower Variation / Mikrostrukturgeräusche; High-frequency data / Jump variation / Pre-averaging / Realized variation / Bipower variation / Microstructure noise

…BarndorNielsen and Shephard (2004a) introduce the bipower variation estimator as a simple… …process. The dierence between a realized variance estimate and the bipower variation estimate… …x5D;1 (7) R1 σ 2 ds, can 0 s be estimated using the bipower variation measure… …violations. We then use these freshly pre-averaged returns ∗ to calculate the new bipower variation… …estimates lies in the bipower variation estimators of the integrated variance. Moving onto the… 

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

Thea, A. (2017). Estimating Jump Variation under Noise with High-Frequency Data. (Thesis). University of Vienna. Retrieved from http://othes.univie.ac.at/49396/

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Thea, André. “Estimating Jump Variation under Noise with High-Frequency Data.” 2017. Thesis, University of Vienna. Accessed November 28, 2020. http://othes.univie.ac.at/49396/.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Thea, André. “Estimating Jump Variation under Noise with High-Frequency Data.” 2017. Web. 28 Nov 2020.

Vancouver:

Thea A. Estimating Jump Variation under Noise with High-Frequency Data. [Internet] [Thesis]. University of Vienna; 2017. [cited 2020 Nov 28]. Available from: http://othes.univie.ac.at/49396/.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Thea A. Estimating Jump Variation under Noise with High-Frequency Data. [Thesis]. University of Vienna; 2017. Available from: http://othes.univie.ac.at/49396/

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation


Halmstad University

4. Pszczola, Agnieszka. Testing for jumps in face of the financial crisis : Application of Barndorff-Nielsen - Shephard test and the Kou model.

Degree: Computer and Electrical Engineering (IDE), 2009, Halmstad University

  The purpose of this study is to identify an impact on an option pricing within NASDAQ OMX Stockholm Market, if the underlying asset prices… (more)

Subjects/Keywords: Bipower variation; Barndorff-Nielsen and Shephard test; Stylized facts; Double exponential jump-diffusion model; Kou model; Options pricing; Cumulant matching

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

Pszczola, A. (2009). Testing for jumps in face of the financial crisis : Application of Barndorff-Nielsen - Shephard test and the Kou model. (Thesis). Halmstad University. Retrieved from http://urn.kb.se/resolve?urn=urn:nbn:se:hh:diva-2872

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Pszczola, Agnieszka. “Testing for jumps in face of the financial crisis : Application of Barndorff-Nielsen - Shephard test and the Kou model.” 2009. Thesis, Halmstad University. Accessed November 28, 2020. http://urn.kb.se/resolve?urn=urn:nbn:se:hh:diva-2872.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Pszczola, Agnieszka. “Testing for jumps in face of the financial crisis : Application of Barndorff-Nielsen - Shephard test and the Kou model.” 2009. Web. 28 Nov 2020.

Vancouver:

Pszczola A. Testing for jumps in face of the financial crisis : Application of Barndorff-Nielsen - Shephard test and the Kou model. [Internet] [Thesis]. Halmstad University; 2009. [cited 2020 Nov 28]. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:hh:diva-2872.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Pszczola A. Testing for jumps in face of the financial crisis : Application of Barndorff-Nielsen - Shephard test and the Kou model. [Thesis]. Halmstad University; 2009. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:hh:diva-2872

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

.