Jeremy H. Large

University of Oxford - Department of Economics

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  • University of Oxford - Department of Economics

SCHOLARLY PAPERS

4

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766

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14

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5

Scholarly Papers (4)

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1.

Moving Average-Based Estimators of Integrated Variance

Downloads 482 (99,645)
Citation 9

Moving Average-Based Estimators of Integrated Variance

Number of pages: 32 Posted: 05 Jun 2006
Peter Reinhard Hansen, Jeremy H. Large, Asger Lunde and Asger Lunde
University of North Carolina (UNC) at Chapel Hill - Department of Economics, University of Oxford - Department of Economics and CREATESAarhus University - School of Business and Social Sciences
Downloads 482 (98,637)
Citation 9

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Integrated Variance, Realized Variance, Realized Volatility, Moving Average, Bias Correction

Moving Average-Based Estimators of Integrated Variance

Econometric Reviews, Vol. 27, No. 1-3, pp. 79-111, 2008
Posted: 05 Aug 2008
Peter Reinhard Hansen, Jeremy H. Large, Asger Lunde and Asger Lunde
University of North Carolina (UNC) at Chapel Hill - Department of Economics, University of Oxford - Department of Economics and CREATESAarhus University - School of Business and Social Sciences

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Bias correction, High-frequency data, Integrated variance, Moving average, Realized variance, Realized volatility

2.

A Market-Clearing Role for Inefficiency on a Limit Order Book

Number of pages: 34 Posted: 02 Apr 2006
Jeremy H. Large
University of Oxford - Department of Economics
Downloads 157 (310,965)
Citation 3

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stochastic sequential game, ergodic equilibrium, market microstructure, limit order book, market depths, bid-ask spread

3.

Estimating Quadratic Variation When Quoted Prices Change by a Constant Increment

Number of pages: 25 Posted: 17 Aug 2005
Jeremy H. Large
University of Oxford - Department of Economics
Downloads 127 (367,757)
Citation 7

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Realized Volatility, Realized Variance, Quadratic Variation, Market Microstructure, High-Frequency Data, Pure Jump Process

4.

Cancellation and Uncertainty Aversion on Limit Order Books

University of Oxford Nuffield College Economics Working Paper No. 2004-W5
Posted: 12 Feb 2004
Jeremy H. Large
University of Oxford - Department of Economics

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Market microstructure, limit order book, order cancellation, fleeting orders