Concepedia

Quadratic Variation

Quadratic Variation is a stochastic process that quantifies the cumulative sum of squared increments of a given semimartingale over infinitesimal time intervals, serving as a fundamental measure of path irregularity in the context of continuous-time stochastic calculus.

284

Publications

18.3K

Citations

457

Authors

295

Institutions

Publications per year

2017–2026

27

Parents

Publications

284

Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models

Ole E. Barndorff–Nielsen, Neil Shephard · Journal of the Royal Statistical Society Series B (Statistical Methodology) · 2002 · 2.3K citations · Full text

, , +17

Power and Bipower Variation with Stochastic Volatility and Jumps

Ole E. Barndorff–Nielsen · Journal of Financial Econometrics · 2004 · 2.1K citations

, , +15

Effective numerical treatment of boundary integral equations: A formulation for three‐dimensional elastostatics

Jacob Lachat, J. O. Watson · International Journal for Numerical Methods in Engineering · 1976 · 682 citations

, , +16

Estimating quadratic variation using realized variance

Ole E. Barndorff–Nielsen, Neil Shephard · Journal of Applied Econometrics · 2002 · 648 citations

, , +14

Quadratic variations and estimation of the local Hölder index of a Gaussian process

Jacques Istas, Gabriel Lang · Annales de l Institut Henri Poincaré Probabilités et Statistiques · 1997 · 351 citations · Full text

, , +8

1–5 of 284

Authors

457

  1. OE
    Ole E. Barndorff–Nielsen

    Aarhus University, Denmark

    13 publications · 5.8K citations

    13

    h-index

  2. FR
    Francesco Russo

    École Nationale Supérieure de Techniques Avancées, France

    9 publications · 383 citations

    9

    h-index

  3. NS
    Neil Shephard

    University of Oxford, United Kingdom

    9 publications · 3.5K citations

    9

    h-index

  4. MP
    Mark Podolskij

    Aarhus University, Denmark

    6 publications · 549 citations

    7

    h-index

  5. ÉG
    Éric Ghysels

    University of North Carolina at Chapel Hill, United States

    4 publications · 682 citations

    4

    h-index

1–5 of 457

Institutions

295

  1. Aarhus University

    Aarhus, Denmark

    11 h-index

    14 publications

    5.8K citations

  2. University of Oxford

    Oxford, United Kingdom

    9 h-index

    12 publications

    1.1K citations

  3. University of Cambridge

    Cambridge, United Kingdom

    6 h-index

    7 publications

    256 citations

  4. Centre National de la Recherche Scientifique

    Paris, France

    6 h-index

    8 publications

    221 citations

  5. National Bureau of Economic Research

    Cambridge, United States

    5 h-index

    7 publications

    201 citations

  6. Sorbonne Université

    Paris, France

    5 h-index

    7 publications

    482 citations

  7. Stanford University

    Stanford, United States

    4 h-index

    9 publications

    470 citations

  8. Université de Lille

    Lille, France

    4 h-index

    3 publications

    92 citations

1–8 of 295

Venues

  1. SSRN Electronic Journal

    Repository · 18 publications · 557 citations

    15

    h-index

  2. The Annals of Probability

    13 publications · 639 citations

    11

    h-index

  3. Stochastic Processes and their Applications

    11 publications · 556 citations

    10

    h-index

  4. Bernoulli

    7 publications · 267 citations

    7

    h-index

  5. 6

    h-index

1–5