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Publications

by members of

Finance Research Centre
Oxford University
Oxford, United Kingdom

These are publications listed in RePEc written by members of the above institution who are registered with the RePEc Author Service. Thus this compiles the works all those currently affiliated with this institution, not those affilated at the time of publication. List of registered members. Register yourself. Citation analysis. This page is updated in the first days of each month.
| Working papers | Journal articles |

Working papers

2008

  1. Jeremy Large & Thomas Norman, 2008. "Ergodic Equilibria in Stochastic Sequential Games," Economics Series Working Papers 405, University of Oxford, Department of Economics.

2007

  1. Jeremy Large, 2007. "Estimating Quadratic Variation When Quoted Prices Change by a Constant Increment," Economics Series Working Papers 340, University of Oxford, Department of Economics.

2006

  1. Jeremy Large, 2006. "A Market-Clearing Role for Inefficiency on a Limit Order Book," Economics Papers 2006-W08, Economics Group, Nuffield College, University of Oxford.

2005

  1. Jeremy Large, 2005. "Estimating quadratic variation when quoted prices jump by a constant increment," Economics Papers 2005-W05, Economics Group, Nuffield College, University of Oxford.

2004

  1. Jeremy Large, 2004. "Cancellation and Uncertainty Aversion on Limit Order Books," Economics Papers 2004-W05, Economics Group, Nuffield College, University of Oxford.

Journal articles

2011

  1. Large, Jeremy, 2011. "Estimating quadratic variation when quoted prices change by a constant increment," Journal of Econometrics, Elsevier, vol. 160(1), pages 2-11, January.

2009

  1. Large, Jeremy, 2009. "A market-clearing role for inefficiency on a limit order book," Journal of Financial Economics, Elsevier, vol. 91(1), pages 102-117, January.

2008

  1. Peter Hansen & Jeremy Large & Asger Lunde, 2008. "Moving Average-Based Estimators of Integrated Variance," Econometric Reviews, Taylor & Francis Journals, vol. 27(1-3), pages 79-111.

2007

  1. Large, Jeremy, 2007. "Measuring the resiliency of an electronic limit order book," Journal of Financial Markets, Elsevier, vol. 10(1), pages 1-25, February.

IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.