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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

How Often to Sample 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 (2013) 2, pp. 351-350

Persistent link: https://www.econbiz.de/10010114501

Theory and Methods - A Tale of Two Time Scales: Determining Integrated Volatility With Noisy High-Frequency Data

Zhang, Lan; Mykland, Per A.; Ai͏̈t-Sahalia, Yacine - In: Journal of the American Statistical Association : JASA 100 (2005) 472, pp. 1394-1411

Persistent link: https://www.econbiz.de/10006605479

A TALE OF TWO TIME SCALES: DETERMINING INTEGRATED VOLATILITY WITH NOISY HIGH-FREQUENCY DATA

Zhang, Lan; Mykland, Per A.; Ait-Sahalia, Yacine - 2003

Persistent link: https://www.econbiz.de/10006966215

HOW OFTEN TO SAMPLE A CONTINUOUS-TIME PROCESS IN THE PRESENCE OF MARKET MICROSTRUCTURE NOISE

Ai͏̈t-Sahalia, Yacine; Mykland, Per A. - 2003

Persistent link: https://www.econbiz.de/10006969422

Nonlinear Experiments: Optimal Design and Inference Based on Likelihood

Chaudhuri, Probal; Mykland, Per A. - In: Journal of the American Statistical Association : JASA 88 (1993) 422, pp. 538-546

Persistent link: https://www.econbiz.de/10006638863

EVALUATING HEDGING ERRORS: AN ASYMPTOTIC APPROACH

Hayashi, Takaki; Mykland, Per A. - In: Mathematical finance : an international journal of … 15 (2005) 2, pp. 309-344

Persistent link: https://www.econbiz.de/10008214492

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