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Quantitative Finance
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joesyc

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high-frequency-estimators

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11 Questions

Votes Activity Newest Views
4
7
votes
1
answer
2k
views

Calculating 6-minute, 20-minute, 45-minute, and 3-hour volatility

volatility high-frequency stochastic-volatility high-frequency-estimators
Aug 7 '15 at 1:40 Colin T Bowers 679
3
5
votes
1
answer
1k
views

Measuring momentum as AR(1) process

time-series auto-correlation time momentum
Feb 13 '18 at 20:00 feetwet 207
3
4
votes
2
answers
12k
views

Realized Volatility vs. Standard deviation of log returns

volatility implied-volatility high-frequency high-frequency-estimators
Dec 22 at 18:40 Soumirai 514
3
4
votes
2
answers
3k
views

How to interpret Realized Volatility and TSRV using R

volatility implied-volatility high-frequency local-volatility high-frequency-estimators
Oct 23 at 1:36 Hans 2,254
 
3
votes
1
answer
249
views

Derivation using Ito's Lemma of price process

stochastic-processes stochastic-calculus itos-lemma
Nov 2 '15 at 16:07 Gordon 18.9k
1
3
votes
2
answers
470
views

What do you do with low r-squared when calculating high-frequency beta

r correlation beta capm
Sep 21 '15 at 17:27 user32416 505
1
2
votes
2
answers
246
views

impact model what volatility to use

volatility high-frequency high-frequency-estimators market-impact
Apr 18 '17 at 1:29 David Addison 2,735
 
2
votes
1
answer
73
views

Does it make sense to interpret autocorrelation and box test on 5 data points?

time-series mean-reversion
Aug 15 '15 at 10:36 Community♦ 1
1
1
vote
1
answer
1k
views

Interpreting and scaling of Realized Variance with sample data

volatility stochastic-processes implied-volatility high-frequency high-frequency-estimators
Sep 17 '18 at 23:13 Colin T Bowers 679
 
1
vote
1
answer
55
views

What is wrong in my non-linear estimation sample code?

programming statistics regression normal-inverse-gaussian
Oct 20 '15 at 15:18 joesyc 425
 
0
votes
1
answer
2k
views

When measuring autocorrelation should you use log returns or prices?

correlation auto-correlation log-returns
Aug 18 '15 at 1:15 Alex C 8,726
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