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Saichev, Alexander I.'s
Scholarly Papers
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Aggregate Statistics |
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Total
Downloads
753 |
Total
Citations
6 |
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Malevergne, Yannick
University of Saint Etienne - Graduate School of Economics and Business Administration (ISEAG) Saichev, Alexander I.
ETH Zurich - D-MTEC Sornette, Didier
ETH Zurich
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15 Jan 08
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13 Apr 10
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307
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2.
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Most Efficient Homogeneous Volatility Estimators
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Saichev, Alexander I.
ETH Zurich - D-MTEC Sornette, Didier
ETH Zurich Filimonov , Vladimir
Swiss Federal Institute of Technology Zurich (ETH Zurich)
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09 Sep 09
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Last Revised:
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27 Apr 10
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198
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Saichev, Alexander I.
ETH Zurich - D-MTEC Sornette, Didier
ETH Zurich Filimonov , Vladimir
Swiss Federal Institute of Technology Zurich (ETH Zurich)
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Variance and volatility estimators, efficiency, homogeneous functions, Schwarz inequality, extremes of Wiener processes
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Saichev, Alexander I.
ETH Zurich - D-MTEC Sornette, Didier
ETH Zurich Filimonov , Vladimir
Swiss Federal Institute of Technology Zurich (ETH Zurich)
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145
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Variance and volatility estimators, efficiency, homogeneous functions, Schwarz inequality, extremes of Wiener processes
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Saichev, Alexander I.
ETH Zurich - D-MTEC Sornette, Didier
ETH Zurich Filimonov , Vladimir
Swiss Federal Institute of Technology Zurich (ETH Zurich) Corsi, Fulvio
Swiss Federal Institute of Technology Zurich (ETH Zurich)
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111
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volatility, variance, estimators, efficiency, Wiener processes, homogeneous functions
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4.
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Sornette, Didier
ETH Zurich Saichev, Alexander I.
ETH Zurich - D-MTEC
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103
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high-frequency trading, micro-structure, Epps effect, long memory, momentum
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5.
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Saichev, Alexander I.
ETH Zurich - D-MTEC Lapinova, Svetlana Alexandrovna
affiliation not provided to SSRN Tarakanova, Maria
affiliation not provided to SSRN
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21 Mar 12
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Last Revised:
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05 Jun 12
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volatility estimators, probabilistic properties, efficiency, unbiasedness
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