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~person:"Zhang, Lan"
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Search: subject:"Market microstructure"
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Market microstructure
16
Marktmikrostruktur
14
Theorie
11
Theory
10
Capital income
7
Kapitaleinkommen
7
Volatility
7
Volatilität
7
Zeitreihenanalyse
7
CAPM
6
Estimation theory
5
Schätztheorie
5
Time series analysis
5
Nichtparametrisches Verfahren
4
Nonparametric statistics
4
High frequency data
3
Realized volatility
3
Asynchronous times
2
Börsenkurs
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Consistency
2
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2
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Martingal
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Martingale
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Microstructure
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Robust estimation
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Serial dependence
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Share price
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Subsampling
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Two Scales Realized Volatility
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ARCH model
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Analysis of variance
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Capital Asset Pricing Model
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Capital-Asset-Pricing-Modell
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9
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7
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4
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3
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English
17
German
1
Author
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Zhang, Lan
Rime, Dagfinn
55
Hautsch, Nikolaus
44
Theissen, Erik
42
Kyle, Albert S.
35
Reitz, Stefan
35
Menkhoff, Lukas
31
O'Hara, Maureen
31
Taylor, Mark P.
30
Podolskij, Mark
29
Grammig, Joachim
28
Mykland, Per A.
28
Evans, Martin D. D.
21
Obizhaeva, Anna A.
21
Diebold, Francis X.
20
Foucault, Thierry
20
Menkveld, Albert J.
20
Christensen, Kim
19
Easley, David
19
Nolte, Ingmar
19
Biais, Bruno
18
Cheung, Yin-Wong
18
Frino, Alex
18
Horst, Ulrich
18
Bollerslev, Tim
17
Lyons, Richard K.
17
Næs, Randi
17
Cont, Rama
16
Li, Yingying
16
Loretan, Mico
16
Obižaeva, Anna
16
Osler, Carol
16
Aït-Sahalia, Yacine
15
Lillo, Fabrizio
15
Linton, Oliver
15
Lux, Thomas
15
Schwartz, Robert A.
15
Skjeltorp, Johannes A.
15
Fleming, Michael J.
14
Large, Jeremy
14
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National Bureau of Economic Research
2
Deutsche Bundesbank
1
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Journal of econometrics
4
NBER working paper series
2
Working paper / National Bureau of Economic Research, Inc.
2
Bundesbank Series 1 Discussion Paper
1
Discussion Paper Series 1
1
Discussion Paper Series 1: Economic Studies
1
Discussion paper / Deutsche Bundesbank
1
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1
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
1
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1
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1
The review of financial studies
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ECONIS (ZBW)
14
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1
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1
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1
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1
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
Ultra High Frequency Volatility Estimation with Dependent Microstructure Noise
Ait-Sahalia, Yacine
-
2016
We analyze the impact of time series dependence in
market
microstructure
noise on the properties of …
Persistent link: https://www.econbiz.de/10012991211
Saved in:
3
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:
4
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
Saved in:
5
A Tale of Two Time Scales : Determining Integrated Volatility with Noisy High Frequency Data
Zhang, Lan
-
2010
market
microstructure
poses challenges to this estimation approach, as evidenced by recent empirical studies in finance. This …
Persistent link: https://www.econbiz.de/10012762713
Saved in:
6
Ultra high frequency volatility estimation with dependent microstructure noise
Ait-Sahalia, Yacine
;
Mykland, Per A.
;
Zhang, Lan
-
2005
We analyze the impact of time series dependence in
market
microstructure
noise on the properties of estimators of the …
Persistent link: https://www.econbiz.de/10010295775
Saved in:
7
Ultra high frequency volatility estimation with dependent microstructure noise
Aït-Sahalia, Yacine
(
contributor
); …
-
2005
We analyze the impact of time series dependence in
market
microstructure
noise on the properties of estimators of the …
Persistent link: https://www.econbiz.de/10003126220
Saved in:
8
Ultra high frequency volatility estimation with dependent microstructure noise
Aït-Sahalia, Yacine
;
Mykland, Per A.
;
Zhang, Lan
-
2005
Persistent link: https://www.econbiz.de/10002880802
Saved in:
9
Ultra High Frequency Volatility Estimation with Dependent Microstructure Noise
Ait-Sahalia, Yacine
-
2005
We analyze the impact of time series dependence in
market
microstructure
noise on the properties of estimators of the …
Persistent link: https://www.econbiz.de/10012467303
Saved in:
10
Ultra high frequency volatility estimation with dependent microstructure noise
Ait-Sahalia, Yacine
;
Mykland, Per A.
;
Zhang, Lan
-
Deutsche Bundesbank
-
2005
We analyze the impact of time series dependence in
market
microstructure
noise on the properties of estimators of the …
Persistent link: https://www.econbiz.de/10005083059
Saved in:
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