Ilya Archakov

European University Institute

Villa Schifanoia

133 via Bocaccio

Firenze (Florence), Tuscany 50014

Italy

SCHOLARLY PAPERS

2

DOWNLOADS

99

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (2)

1.

A Descriptive Study of High-Frequency Trade and Quote Option Data

Number of pages: 55 Posted: 07 Sep 2019
Northwestern University - Kellogg School of Management, European University Institute, University of Vienna, University of Vienna - Department of Statistics and Operations Research, Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE), Lancaster University - Department of Accounting and Finance, Lancaster University - Department of Accounting and Finance, Lancaster University - Department of Accounting and Finance and Independent
Downloads 78 (316,395)

Abstract:

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Options Data, High Frequency Data, Market Microstructure

2.

A Markov Chain Estimator of Multivariate Volatility from High Frequency Data

Number of pages: 34 Posted: 25 May 2018
University of North Carolina (UNC) at Chapel Hill - Department of Economics, Stanford University - Department of Statistics, Aarhus University - School of Economics and Management and European University Institute
Downloads 21 (527,198)

Abstract:

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Markov chain, Multivariate Volatility, Quadratic Variation, Integrated Variance, Realized Variance, High Frequency Data