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~subject:"Realized volatility"
~person:"Zhang, Lan"
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Realized volatility
Market microstructure
4
Asynchronous times
3
Discrete observation
3
Estimation theory
3
Leverage effect
3
Schätztheorie
3
Volatility
3
Volatilität
3
Capital income
2
Consistency
2
High frequency data
2
Irregular times
2
Itô process
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Kapitaleinkommen
2
Marktmikrostruktur
2
Microstructure
2
Robust estimation
2
Robust statistics
2
Robustes Verfahren
2
Serial dependence
2
Subsampling
2
Two Scales Realized Volatility
2
Two scales estimation
2
ARCH model
1
ARCH-Modell
1
Capital Asset Pricing Model
1
Cross validation
1
Edge effect
1
Efficiency
1
Endogenous times
1
Equivalent martingale measure
1
F-testing
1
Implied volatility
1
Leads and lags
1
Martingal
1
Martingale
1
Mikrostrukturanalyse
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Model selection
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English
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Zhang, Lan
Ma, Feng
19
McAleer, Michael
17
Gupta, Rangan
16
Pierdzioch, Christian
13
Degiannakis, Stavros
12
Scharth, Marcel
12
Yu, Jun
11
Chevallier, Julien
10
Allen, David E.
9
Bollerslev, Tim
9
Sévi, Benoît
9
Liao, Yin
8
Molnár, Peter
8
Wei, Yu
8
Diebold, Francis X.
7
Haugom, Erik
7
Hwang, Eunju
7
Lyócsa, Štefan
7
Nonejad, Nima
7
Andersen, Torben G.
6
Christiansen, Charlotte
6
Clements, Adam
6
Gillas, Konstantinos Gkillas
6
Gribisch, Bastian
6
Liang, Chao
6
Medeiros, Marcelo C.
6
Todorova, Neda
6
Audrino, Francesco
5
Cesa-Bianchi, Ambrogio
5
Corsi, Fulvio
5
Filis, George
5
Martens, Martin
5
Patton, Andrew J.
5
Phillips, Peter C. B.
5
Rebucci, Alessandro
5
Shin, Dong Wan
5
Vortelinos, Dimitrios I.
5
Westgaard, Sjur
5
Zhang, Yaojie
5
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Deutsche Bundesbank
1
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Journal of econometrics
2
Annals of Finance
1
Discussion Paper Series 1
1
Discussion Paper Series 1: Economic Studies
1
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ECONIS (ZBW)
2
RePEc
2
EconStor
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
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
Ultra high frequency volatility estimation with dependent microstructure noise
Ait-Sahalia, Yacine
;
Mykland, Per A.
;
Zhang, Lan
-
2005
estimators to the standard
realized
volatility. …
Persistent link: https://www.econbiz.de/10010295775
Saved in:
4
Ultra high frequency volatility estimation with dependent microstructure noise
Ait-Sahalia, Yacine
;
Mykland, Per A.
;
Zhang, Lan
-
Deutsche Bundesbank
-
2005
estimators to the standard
realized
volatility. …
Persistent link: https://www.econbiz.de/10005083059
Saved in:
5
Implied and
realized
volatility: empirical model selection
Zhang, Lan
- In:
Annals of Finance
8
(
2012
)
2
,
pp. 259-275
Persistent link: https://www.econbiz.de/10010866512
Saved in:
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