Similar Search Results

Edgeworth expansion for realized volatility and related estimators

Zhang, Lan; Mykland, Per A.; Aït-Sahalia, Yacine - 2005

Persistent link: https://www.econbiz.de/10003217402

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

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

Jumps in financial markets : a new nonparametric test and jump dynamics

Lee, Suzanne S.; Mykland, Per A. - In: The review of financial studies 21 (2008) 6, pp. 2535-2563

Persistent link: https://www.econbiz.de/10003805074

Evaluating hedging errors : an asymptotic approach

Hayashi, Takaki; Mykland, Per A. - In: Mathematical finance : an international journal of … 15 (2005) 2, pp. 309-343

Persistent link: https://www.econbiz.de/10002725490

Local parametric estimation in high frequency data

Potiron, Yoann; Mykland, Per A. - In: Journal of business & economic statistics : JBES ; a … 38 (2020) 3, pp. 679-692

Persistent link: https://www.econbiz.de/10012262505

A Tale of Two Time Scales : Determining Integrated Volatility with Noisy High Frequency Data

Zhang, Lan - 2010

It is a common practice in finance to estimate volatility from the sum of frequently-sampled squared returns. However market microstructure poses challenges to this estimation approach, as evidenced by recent empirical studies in finance. This work attempts to lay out theoretical grounds that...

Persistent link: https://www.econbiz.de/10012762713

A Tale of Two Time Scales : Determining Integrated Volatility with Noisy High Frequency Data

Zhang, Lan - 2003

Persistent link: https://www.econbiz.de/10012468583