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~person:"Fan, Jianqing"
~person:"Li, Jia"
~person:"Zhang, Lan"
~source:"olc"
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Fan, Jianqing
Li, Jia
Zhang, Lan
Aït-Sahalia, Yacine
14
Ait-Sahalia, Yacine
9
Mykland, Per A.
4
Jacod, Jean
3
Andritzky, Jochen
2
Jobst, Andreas
2
Li, Yingying
2
Mancini, Loriano
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Nowak, Sylwia
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Lo, Andrew W.
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1
How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise
Aït-Sahalia, Yacine
;
Mykland, Per A.
;
Zhang, Lan
- In:
The review of financial studies
18
(
2013
)
2
,
pp. 351-350
Persistent link: https://www.econbiz.de/10010114501
Saved in:
2
The leverage effect puzzle: Disentangling sources of bias at high frequency
Aït-Sahalia, Yacine
;
Fan, Jianqing
;
Li, Yingying
- In:
Journal of financial economics
109
(
2013
)
1
,
pp. 224-249
Persistent link: https://www.econbiz.de/10010122976
Saved in:
3
Testing for jumps in noisy high frequency data
Aït-Sahalia, Yacine
;
Jacod, Jean
;
Li, Jia
- In:
Journal of econometrics
168
(
2012
)
2
,
pp. 207-223
Persistent link: https://www.econbiz.de/10009969396
Saved in:
4
Edgeworth expansions for realized volatility and related estimators
Zhang, Lan
;
Mykland, Per A.
;
Aït-Sahalia, Yacine
- In:
Journal of econometrics
160
(
2011
)
1
,
pp. 190-204
Persistent link: https://www.econbiz.de/10008770544
Saved in:
5
Ultra high frequency volatility estimation with dependent microstructure noise
Aït-Sahalia, Yacine
;
Mykland, Per A.
;
Zhang, Lan
- In:
Journal of econometrics
160
(
2011
)
1
,
pp. 160-176
Persistent link: https://www.econbiz.de/10008770546
Saved in:
6
THE LEVERAGE EFFECT PUZZLE: DISENTANGLING SOURCES OF BIAS AT HIGH FREQUENCY
Ait-Sahalia, Yacine
;
Fan, Jianqing
;
Li, Yingying
-
2011
Persistent link: https://www.econbiz.de/10009833031
Saved in:
7
High-Frequency Covariance Estimates With Noisy and Asynchronous Financial Data
Aït-Sahalia, Yacine
;
Fan, Jianqing
;
Xiu, Dacheng
- In:
Journal of the American Statistical Association : JASA
105
(
2010
)
492
,
pp. 1504-1518
Persistent link: https://www.econbiz.de/10008819024
Saved in:
8
Nonparametric Transition-Based Tests for Jump Diffusions
Aït-Sahalia, Yacine
;
Fan, Jianqing
;
Peng, Heng
- In:
Journal of the American Statistical Association : JASA
104
(
2009
)
487
,
pp. 1102-1116
Persistent link: https://www.econbiz.de/10008328382
Saved in:
9
A TALE OF TWO TIME SCALES: DETERMINING INTEGRATED VOLATILITY WITH NOISY HIGH-FREQUENCY DATA
Zhang, Lan
;
Mykland, Per A.
;
Ait-Sahalia, Yacine
-
2003
Persistent link: https://www.econbiz.de/10006966215
Saved in:
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