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subject:"Volatility"
~accessRights:"restricted"
~person:"Mykland, Per A."
~subject:"Bayes-Statistik"
~subject:"Time series analysis"
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Volatility
Bayes-Statistik
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Estimation theory
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6
Market microstructure
5
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5
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Mykland, Per A.
Tsionas, Efthymios G.
13
Gao, Jiti
12
Li, Jia
11
Phillips, Peter C. B.
11
Todorov, Viktor
10
Kumar, Dilip
9
Linton, Oliver
9
Zhang, Xinyu
9
Zhu, Ke
9
Francq, Christian
8
Kapetanios, George
8
Koopman, Siem Jan
8
Lütkepohl, Helmut
8
Schorfheide, Frank
8
Wang, Shouyang
8
Demetrescu, Matei
7
Marcellino, Massimiliano
7
Shang, Han Lin
7
Tauchen, George Eugene
7
Taylor, Robert
7
Teräsvirta, Timo
7
Andersen, Torben
6
Baltagi, Badi H.
6
Kim, Donggyu
6
Li, Degui
6
Li, Yingying
6
Liu, Zhi
6
Lucas, André
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Nielsen, Morten Ørregaard
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Sbrana, Giacomo
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Sentana, Enrique
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Xiao, Zhijie
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Zhang, Xibin
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Ardia, David
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Bauwens, Luc
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Journal of econometrics
4
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
1
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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The observed asymptotic variance : hard edges, and a regression approach
Mykland, Per A.
;
Zhang, Lan
- In:
Journal of econometrics
222
(
2021
)
1,2
,
pp. 411-428
Persistent link: https://www.econbiz.de/10012619653
Saved in:
2
Local parametric estimation in high frequency data
Potiron, Yoann
;
Mykland, Per A.
- In:
Journal of business & economic statistics : JBES ; a …
38
(
2020
)
3
,
pp. 679-692
Persistent link: https://www.econbiz.de/10012262505
Saved in:
3
The algebra of two scales estimation, and the S-TSRV: High frequency estimation that is robust to sampling times
Mykland, Per A.
;
Zhang, Lan
;
Chen, Dachuan
- In:
Journal of econometrics
208
(
2019
)
1
,
pp. 101-119
Persistent link: https://www.econbiz.de/10012139798
Saved in:
4
Assessment of uncertainty in high frequency data : the observed asymptotic variance
Mykland, Per A.
;
Zhang, Lan
- In:
Econometrica : journal of the Econometric Society, an …
85
(
2017
)
1
,
pp. 197-231
Persistent link: https://www.econbiz.de/10011738478
Saved in:
5
Model-free approaches to discern non-stationary microstructure noise and time-varying liquidity in high-frequency data
Chen, Richard Y.
;
Mykland, Per A.
- In:
Journal of econometrics
200
(
2017
)
1
,
pp. 79-103
Persistent link: https://www.econbiz.de/10011897700
Saved in:
6
Between data cleaning and inference : pre-averaging and robust estimators of the efficient price
Mykland, Per A.
;
Zhang, Lan
- In:
Journal of econometrics
194
(
2016
)
2
,
pp. 242-262
Persistent link: https://www.econbiz.de/10011705124
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