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Inference for continuous semimartingales observed at high frequency

Mykland, Per A.; Zhang, Lan - In: Econometrica : journal of the Econometric Society, an … 77 (2009) 5, pp. 1403-1445

Persistent link: https://www.econbiz.de/10003914908

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

Realized volatility when sampling times are possibly endogenous

Li, Yingying; Mykland, Per A.; Renault, Eric; Zhang, Lan; … - In: Econometric theory 30 (2014) 3, pp. 580-605

Persistent link: https://www.econbiz.de/10010500887

Big data in dynamic predictive econometric modeling

Diebold, Francis X.; Ghysels, Eric; Mykland, Per A.; … - In: Journal of econometrics 212 (2019) 1, pp. 1-3

Persistent link: https://www.econbiz.de/10012303857

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

Ultra high frequency volatility estimation with dependent microstructure noise

Aït-Sahalia, Yacine (contributor); … - 2005

We analyze the impact of time series dependence in market microstructure noise on the properties of estimators of the integrated volatility of an asset price based on data sampled at frequencies high enough for that noise to be a dominant consideration. We show that combining two time scales for...

Persistent link: https://www.econbiz.de/10003126220

Ultra high frequency volatility estimation with dependent microstructure noise

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

Persistent link: https://www.econbiz.de/10002880802

How often to simple a continuous-time process in the presence of market microstructure noise

Aït-Sahalia, Yacine; Mykland, Per A.; Zhang, Lan - In: The review of financial studies 18 (2005) 2, pp. 351-416

Persistent link: https://www.econbiz.de/10002881476

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