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subject:"Stochastischer Prozess"
subject:"Volatility"
~isPartOf:"Discussion papers of interdisciplinary research project 373"
~isPartOf:"Journal of econometrics"
~isPartOf:"Journal of forecasting"
~person:"Mykland, Per A."
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Stochastischer Prozess
Volatility
Estimation theory
7
Schätztheorie
7
Microstructure
4
Volatilität
4
Asynchronous times
3
Capital income
3
Consistency
3
Discrete observation
3
Kapitaleinkommen
3
Leverage effect
3
Market microstructure
3
Marktmikrostruktur
3
Robust estimation
3
Börsenkurs
2
Efficiency
2
Equivalent martingale measure
2
Irregular times
2
Pre-averaging
2
Realized volatility
2
Robust statistics
2
Robustes Verfahren
2
Share price
2
Stable convergence
2
Time
2
Time series analysis
2
Two scales estimation
2
Zeit
2
Zeitreihenanalyse
2
Asymptotic bias
1
Bias
1
CAPM
1
Contiguity
1
Continuity
1
Correlation
1
Cumulants
1
Edge effect
1
Endogenous model
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Endogenous times
1
Hayashi-Yoshida estimator
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Mykland, Per A.
Todorov, Viktor
10
Tauchen, George Eugene
7
Andersen, Torben
6
Li, Jia
6
Zakoïan, Jean-Michel
6
Francq, Christian
5
Kim, Donggyu
5
Li, Yingying
5
Härdle, Wolfgang
4
Park, Joon Y.
4
Aït-Sahalia, Yacine
3
Bollerslev, Tim
3
Li, Dong
3
Li, Guodong
3
Meddahi, Nour
3
Spokojnyj, Vladimir G.
3
Varneskov, Rasmus Tangsgaard
3
Wang, Yazhen
3
Zhang, Lan
3
Zhu, Ke
3
Chen, Song Xi
2
Clinet, Simon
2
Fan, Jianqing
2
Gallant, A. Ronald
2
Gouriéroux, Christian
2
Grynkiv, Iaryna
2
Hafner, Christian M.
2
Jasiak, Joann
2
Kong, Xin-Bing
2
Koopman, Siem Jan
2
Küchler, Uwe
2
Li, Muyi
2
Li, Wai Keung
2
Lieberman, Offer
2
Patton, Andrew J.
2
Phillips, Peter C. B.
2
Potiron, Yoann
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Reiß, Markus
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Taylor, James W.
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Discussion papers of interdisciplinary research project 373
Journal of econometrics
Journal of forecasting
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
1
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
1
Journal of financial econometrics : official journal of the Society for Financial Econometrics
1
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ECONIS (ZBW)
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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
Model-free approaches to discern non-stationary microstructure noise and time-varying liquidity in high-frequency data
Chen, Richard Y.
;
Mykland, Per A.
- In:
Journal of econometrics
200
(
2017
)
1
,
pp. 79-103
Persistent link: https://www.econbiz.de/10011897700
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:
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