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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
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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
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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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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
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A bias-corrected estimator of the covariation matrix of multiple security prices when both microstructure effects and sampling durations are persistent and endogenous
Ikeda, Shin S. - In: Journal of econometrics 193 (2016) 1, pp. 203-214
Persistent link: https://www.econbiz.de/10011704791
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Out of sample forecasts of quadratic variation
Aït-Sahalia, Yacine; Mancini, Loriano - In: Journal of econometrics 147 (2008) 1, pp. 17-33
Persistent link: https://www.econbiz.de/10003783780
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Realized volatility forecasting and option pricing
Bandi, Federico M.; Russell, Jeffrey R.; Yang, Chen - In: Journal of econometrics 147 (2008) 1, pp. 34-46
Persistent link: https://www.econbiz.de/10003783782
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Estimating quadratic variation consistently in the presence of endogenous and diurnal measurement error
Kalnina, Ilze; Linton, Oliver - In: Journal of econometrics 147 (2008) 1, pp. 47-59
Persistent link: https://www.econbiz.de/10003783783
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Econometric estimation in long-range dependent volatility models : theory and practice
Casas, Isabel; Gao, Jiti - In: Journal of econometrics 147 (2008) 1, pp. 72-83
Persistent link: https://www.econbiz.de/10003783786
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Testing for a change in persistence in the presence of non-stationary volatility
Cavaliere, Giuseppe; Taylor, Robert - In: Journal of econometrics 147 (2008) 1, pp. 84-98
Persistent link: https://www.econbiz.de/10003783787