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THE EFFECTS OF RANDOM AND DISC...
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Mykland, Per A.
111
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51
Aït-Sahalia, Yacine
32
Ai͏̈t-Sahalia, Yacine
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ECONIS (ZBW)
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1
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
Saved in:
2
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
Saved in:
3
The 2005 Invited Address - Comment - Realized Variance and Market Microstructure Noise
Ai͏̈t-Sahalia, Yacine
;
Mykland, Per A.
;
Zhang, Lan
- In:
Journal of business & economic statistics : JBES ; a …
24
(
2006
)
2
,
pp. 162-166
Persistent link: https://www.econbiz.de/10008222692
Saved in:
4
The Effects of Random and Discrete Sampling when Estimating Continuous-Time Diffusions
Ai͏̈t-Sahalia, Yacine
;
Mykland, Per A.
- In:
Econometrica : journal of the Econometric Society, an …
71
(
2003
)
2
,
pp. 483-550
Persistent link: https://www.econbiz.de/10006763309
Saved in:
5
ULTRA HIGH FREQUENCY VOLATILITY ESTIMATION WITH DEPENDENT MICROSTRUCTURE NOISE
Ai͏̈t-Sahalia, Yacine
;
Mykland, Per A.
;
Zhang, Lan
-
2005
Persistent link: https://www.econbiz.de/10006959146
Saved in:
6
Option pricing bounds and statistical uncertainty : using econometrics to find an exit strategy in derivatives trading
Mykland, Per A.
-
2010
Persistent link: https://www.econbiz.de/10003900766
Saved in:
7
A Gaussian calculus for inference from high frequency data
Mykland, Per A.
- In:
Annals of finance
8
(
2012
)
2/3
,
pp. 235-258
Persistent link: https://www.econbiz.de/10009548091
Saved in:
8
ESTIMATING AFFINE MULTIFACTOR TERM STRUCTURE MODELS USING CLOSED-FORM LIKELIHOOD EXPANSIONS
Ai͏̈t-Sahalia, Yacine
;
Kimmel, Robert
-
2002
Persistent link: https://www.econbiz.de/10005938425
Saved in:
9
Dynamic equilibrium and volatility in financial asset markets
Ai͏̈t-Sahalia, Yacine
- In:
Journal of econometrics
84
(
1998
)
1
,
pp. 93-128
Persistent link: https://www.econbiz.de/10006790111
Saved in:
10
Nonparametric Pricing of Interest Rate Derivative Securities
Ai͏̈t-Sahalia, Yacine
- In:
Econometrica : journal of the Econometric Society, an …
64
(
1996
)
3
,
pp. 527-560
Persistent link: https://www.econbiz.de/10006794198
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