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subject:"Volatilität"
type_genre:"Working Paper"
~person:"Mykland, Per A."
~subject:"Monte Carlo simulation"
~subject:"USA"
~type_genre:"Aufsatz in Zeitschrift"
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Search: subject_exact:"Estimation theory"
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Volatilität
Monte Carlo simulation
USA
Estimation theory
17
Schätztheorie
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Market microstructure
8
Marktmikrostruktur
8
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7
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6
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Mykland, Per A.
Koopman, Siem Jan
19
Kumar, Dilip
16
Tauchen, George Eugene
16
Todorov, Viktor
16
Schorfheide, Frank
15
Diebold, Francis X.
14
Maheswaran, S.
14
Teräsvirta, Timo
14
Li, Jia
13
Swanson, Norman R.
13
Dufour, Jean-Marie
12
Herbst, Edward P.
11
Pesaran, M. Hashem
11
Shephard, Neil G.
11
Sibbertsen, Philipp
11
Andersen, Torben
10
Corsi, Fulvio
10
Ghysels, Eric
10
Hafner, Christian M.
10
Kapetanios, George
10
Lechner, Michael
10
Lucas, André
10
McAleer, Michael
10
Audrino, Francesco
9
Caporale, Guglielmo Maria
9
Francq, Christian
9
Hautsch, Nikolaus
9
Huber, Martin
9
Härdle, Wolfgang
9
Marcellino, Massimiliano
9
Rodriguez, Gabriel
9
Zhang, Xibin
9
Bollerslev, Tim
8
Brandt, Michael W.
8
Croux, Christophe
8
Daníelsson, Jón
8
Kristensen, Dennis
8
Pittis, Nikitas
8
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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
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
Journal of the American Statistical Association : JASA
1
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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
Local parametric estimation in high frequency data
Potiron, Yoann
;
Mykland, Per A.
- In:
Journal of business & economic statistics : JBES ; a …
38
(
2020
)
3
,
pp. 679-692
Persistent link: https://www.econbiz.de/10012262505
Saved in:
3
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:
4
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:
5
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:
6
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:
7
Rounding errors and volatility estimation
Li, Yingying
;
Mykland, Per A.
- In:
Journal of financial econometrics : official journal of …
13
(
2015
)
2
,
pp. 478-504
Persistent link: https://www.econbiz.de/10011339292
Saved in:
8
On generating Monte Carlo samples of continuous diffusion bridges
Lin, Ming
;
Chen, Rong
;
Mykland, Per A.
- In:
Journal of the American Statistical Association : JASA
105
(
2010
)
490
,
pp. 820-838
Persistent link: https://www.econbiz.de/10008736836
Saved in:
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