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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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Implied and realized volatility: empirical model selection
Zhang, Lan - In: Annals of Finance 8 (2012) 2, pp. 259-275
Persistent link: https://www.econbiz.de/10010866512
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A Gaussian calculus for inference from high frequency data
Mykland, Per - In: Annals of Finance 8 (2012) 2, pp. 235-258
Persistent link: https://www.econbiz.de/10010866535