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~subject:"Volatilität"
~accessRights:"restricted"
~person:"Mykland, Per A."
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Volatilität
Estimation theory
5
Market microstructure
5
Marktmikrostruktur
5
Schätztheorie
5
Volatility
5
Capital income
4
Kapitaleinkommen
4
Börsenkurs
3
Microstructure
3
Share price
3
Asynchronous times
2
Consistency
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Discrete observation
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Leverage effect
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Martingal
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Martingale
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Noise Trading
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Noise trading
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Robust estimation
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ARCH-Modell
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CAPM
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Contiguity
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Efficiency
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Equivalent martingale measure
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Estimation
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High frequency data
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High-frequency tests
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Integrated volatility
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Liquidität
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Mykland, Per A.
Li, Yingying
6
Bollerslev, Tim
4
Liu, Zhi
4
Potiron, Yoann
4
Andersen, Torben
3
Ben Ammar, Imen
3
Cartea, Álvaro
3
Chen, Jing
3
Christensen, Kim
3
Clinet, Simon
3
Hautsch, Nikolaus
3
Hellara, Slaheddine
3
Hounyo, Ulrich
3
Inci, Ahmet Can
3
Kitamura, Yoshihiro
3
Kyle, Albert S.
3
Nolte, Ingmar
3
Obižaeva, Anna
3
Rosenbaum, Mathieu
3
Ryu, Doojin
3
Sensoy, Ahmet
3
Yang, Heejin
3
Zhang, Lan
3
Zheng, Xinghua
3
Anifowose Daniel Abolaji
2
Archakov, Ilya
2
Arjoon, Vaalmikki
2
Aït-Sahalia, Yacine
2
Bibinger, Markus
2
Buccheri, Giuseppe
2
Gradojevic, Nikola
2
Hwang, Eunju
2
Izlin Ismail
2
Jacod, Jean
2
Jiang, George J.
2
Jondeau, Eric
2
Lahaye, Jérôme
2
Li, Yifan
2
Lillo, Fabrizio
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Journal of econometrics
3
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
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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
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
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:
5
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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