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EDGEWORTH EXPANSIONS FOR REALIZED VOLATILITY AND RELATED ESTIMATORS
Zhang, Lan; Mykland, Per; Ai͏̈t-Sahalia, Yacine - 2005
Persistent link: https://www.econbiz.de/10005919904
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Theory and Methods - A Tale of Two Time Scales: Determining Integrated Volatility With Noisy High-Frequency Data
Zhang, Lan; Mykland, Per A.; Ai͏̈t-Sahalia, Yacine - In: Journal of the American Statistical Association : JASA 100 (2005) 472, pp. 1394-1411
Persistent link: https://www.econbiz.de/10006605479
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The 2005 Invited Address - Comment - Realized Variance and Market Microstructure Noise
Ai͏̈t-Sahalia, Yacine; Mykland, Per A.; Zhang, Lan - In: Journal of business & economic statistics : JBES ; a … 24 (2006) 2, pp. 162-166
Persistent link: https://www.econbiz.de/10008222692
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ULTRA HIGH FREQUENCY VOLATILITY ESTIMATION WITH DEPENDENT MICROSTRUCTURE NOISE
Ai͏̈t-Sahalia, Yacine; Mykland, Per A.; Zhang, Lan - 2005
Persistent link: https://www.econbiz.de/10006959146
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HOW OFTEN TO SAMPLE A CONTINUOUS-TIME PROCESS IN THE PRESENCE OF MARKET MICROSTRUCTURE NOISE
Ai͏̈t-Sahalia, Yacine; Mykland, Per A. - 2003
Persistent link: https://www.econbiz.de/10006969422
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The Effects of Random and Discrete Sampling when Estimating Continuous-Time Diffusions
Ai͏̈t-Sahalia, Yacine; Mykland, Per A. - In: Econometrica : journal of the Econometric Society, an … 71 (2003) 2, pp. 483-550
Persistent link: https://www.econbiz.de/10006763309
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THE EFFECTS OF RANDOM AND DISCRETE SAMPLING WHEN ESTIMATING CONTINUOUS-TIME DIFFUSIONS
Ai͏̈t-Sahalia, Yacine; Mykland, Per A. - 2002
Persistent link: https://www.econbiz.de/10005943122