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Aït-Sahalia, Yacine
14
Jacod, Jean
6
Fan, Jianqing
3
Mykland, Per A.
3
Zhang, Lan
3
Andritzky, Jochen
2
Jobst, Andreas
2
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2
Nowak, Sylwia
2
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2
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1
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1
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1
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6
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OLC EcoSci
ECONIS (ZBW)
144
RePEc
50
EconStor
3
USB Cologne (EcoSocSci)
2
USB Cologne (business full texts)
1
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1
Testing for jumps in noisy high frequency data
Aït-Sahalia, Yacine
;
Jacod, Jean
;
Li, Jia
- In:
Journal of econometrics
168
(
2012
)
2
,
pp. 207-223
Persistent link: https://www.econbiz.de/10009969396
Saved in:
2
Analyzing the Spectrum of Asset Returns: Jump and Volatility Components in High Frequency Data
Aït-Sahalia, Yacine
;
Jacod, Jean
- In:
Journal of economic literature
50
(
2012
)
4
,
pp. 1007-1050
Persistent link: https://www.econbiz.de/10010064044
Saved in:
3
Fisher's Information for Discretely Sampled Lévy Processes
Aït-Sahalia, Yacine
;
Jacod, Jean
- In:
Econometrica : journal of the Econometric Society, an …
76
(
2008
)
4
,
pp. 727-762
Persistent link: https://www.econbiz.de/10008077672
Saved in:
4
LIMIT THEOREMS FOR BIPOWER VARIATION IN FINANCIAL ECONOMETRICS
Barndorff-Nielsen, Ole E.
;
Graversen, Svend Erik
; …
- In:
Econometric theory
22
(
2006
)
4
,
pp. 677-720
Persistent link: https://www.econbiz.de/10007268465
Saved in:
5
From implied to spot volatilities
Jacod, Jean
;
Protter, Philip
- In:
Finance and stochastics
14
(
2010
)
2
,
pp. 157-178
Persistent link: https://www.econbiz.de/10008392533
Saved in:
6
Lévy term structure models: No-arbitrage and completeness
Eberlein, Ernst
;
Jacod, Jean
;
Raible, Sebastian
- In:
Finance and stochastics
9
(
2005
)
1
,
pp. 67-88
Persistent link: https://www.econbiz.de/10008222975
Saved in:
7
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/10008143207
Saved in:
8
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
Saved in:
9
Edgeworth expansions for realized volatility and related estimators
Zhang, Lan
;
Mykland, Per A.
;
Aït-Sahalia, Yacine
- In:
Journal of econometrics
160
(
2011
)
1
,
pp. 190-204
Persistent link: https://www.econbiz.de/10008770544
Saved in:
10
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. 160-176
Persistent link: https://www.econbiz.de/10008770546
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