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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/10003902802
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A tale of two time scales : determining integrated volatility with noisy high-frequency data
Zhang, Lan; Mykland, Per A.; Aït-Sahalia, Yacine - In: Journal of the American Statistical Association : JASA 100 (2005) 472, pp. 1393-1411
Persistent link: https://www.econbiz.de/10003242153
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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
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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