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~isPartOf:"Journal of econometrics"
~isPartOf:"Journal of international economics"
~person:"Aït-Sahalia, Yacine"
~subject:"Zeitreihenanalyse"
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Aït-Sahalia, Yacine
Phillips, Peter C. B.
15
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Journal of econometrics
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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. 160-175
Persistent link: https://www.econbiz.de/10009242527
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Using principal component analysis to estimate a high dimensional factor model with high-frequency data
Aït-Sahalia, Yacine
;
Xiu, Dacheng
- In:
Journal of econometrics
201
(
2017
)
2
,
pp. 384-399
Persistent link: https://www.econbiz.de/10011920525
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