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subject:"Share price"
type_genre:"Article in journal"
~person:"Zhang, Lan"
~subject:"Stochastic process"
~subject:"Volatilität"
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Share price
Stochastic process
Volatilität
Estimation theory
7
Schätztheorie
7
Market microstructure
5
Marktmikrostruktur
5
Volatility
4
Asynchronous times
3
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3
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Article in journal
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Zhang, Lan
Kumar, Dilip
16
Maheswaran, S.
15
Tauchen, George Eugene
12
Todorov, Viktor
12
Li, Jia
11
Francq, Christian
9
Zakoïan, Jean-Michel
9
Teräsvirta, Timo
8
Andersen, Torben
7
Ghysels, Eric
7
Kim, Donggyu
7
Li, Yingying
7
Liu, Zhi
7
Mykland, Per A.
7
Engle, Robert F.
6
Koopman, Siem Jan
6
McAleer, Michael
6
Sentana, Enrique
6
Taylor, Stephen
6
Wang, Yazhen
6
Bauwens, Luc
5
Bollerslev, Tim
5
Faff, Robert W.
5
Fan, Jianqing
5
Fornari, Fabio
5
Hafner, Christian M.
5
Hurn, Stan
5
Jing, Bingyi
5
Li, Dong
5
Li, Wai Keung
5
Linton, Oliver
5
Nolte, Ingmar
5
Park, Joon Y.
5
Phillips, Peter C. B.
5
Shephard, Neil G.
5
Taylor, Robert
5
Tsionas, Efthymios G.
5
Allen, David E.
4
Arnerić, Josip
4
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Journal of econometrics
4
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
1
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ECONIS (ZBW)
5
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1
The observed asymptotic variance : hard edges, and a regression approach
Mykland, Per A.
;
Zhang, Lan
- In:
Journal of econometrics
222
(
2021
)
1,2
,
pp. 411-428
Persistent link: https://www.econbiz.de/10012619653
Saved in:
2
The algebra of two scales estimation, and the S-TSRV: High frequency estimation that is robust to sampling times
Mykland, Per A.
;
Zhang, Lan
;
Chen, Dachuan
- In:
Journal of econometrics
208
(
2019
)
1
,
pp. 101-119
Persistent link: https://www.econbiz.de/10012139798
Saved in:
3
Assessment of uncertainty in high frequency data : the observed asymptotic variance
Mykland, Per A.
;
Zhang, Lan
- In:
Econometrica : journal of the Econometric Society, an …
85
(
2017
)
1
,
pp. 197-231
Persistent link: https://www.econbiz.de/10011738478
Saved in:
4
Between data cleaning and inference : pre-averaging and robust estimators of the efficient price
Mykland, Per A.
;
Zhang, Lan
- In:
Journal of econometrics
194
(
2016
)
2
,
pp. 242-262
Persistent link: https://www.econbiz.de/10011705124
Saved in:
5
Estimating covariation : Epps effect, microstructure noise
Zhang, Lan
- In:
Journal of econometrics
160
(
2011
)
1
,
pp. 33-47
Persistent link: https://www.econbiz.de/10009242560
Saved in:
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