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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

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

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

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...