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The effects of random and discrete sampling when estimating continuous-time diffusions
Aït-Sahalia, Yacine; Mykland, Per A. - In: Econometrica : journal of the Econometric Society, an … 71 (2003) 2, pp. 483-549
Persistent link: https://www.econbiz.de/10001750277
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How often to sample a continuous-time process in the presence of market microstructure noise
Aït-Sahalia, Yacine; Mykland, Per A. - 2003
Persistent link: https://www.econbiz.de/10001752968
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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 - 2003
Persistent link: https://www.econbiz.de/10001833930
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Estimating volatility in the presence of market microstructure noise: a review of the theory and practical considerations
Aït-Sahalia, Yacine; Mykland, Per A. - In: Handbook of financial time series, (pp. 577-598). 2009
Persistent link: https://www.econbiz.de/10003834187
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Edgeworth expansions for realized volatility and related estimators
Zhang, Lan; Mykland, Per A.; Aït-Sahalia, Yacine - In: Journal of econometrics 160 (2011) 1, pp. 190-203
Persistent link: https://www.econbiz.de/10009242525
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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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The effects of Random and discrete sampling when estimating continuous-time diffusions
Aït-Sahalia, Yacine; Mykland, Per A. - 2002
Persistent link: https://www.econbiz.de/10001663740
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An analysis of Hansen-Scheinkman moment estimators for discretely and randomly sampled diffusions
Aït-Sahalia, Yacine; Mykland, Per A. - In: Journal of econometrics 144 (2008) 1, pp. 1-26
Persistent link: https://www.econbiz.de/10003723575
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Edgeworth expansion for realized volatility and related estimators
Zhang, Lan; Mykland, Per A.; Aït-Sahalia, Yacine - 2005
Persistent link: https://www.econbiz.de/10003217402
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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