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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
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Edgeworth expansions for realized volatility and related estimators
Zhang, Lan; Mykland, Per A.; Aït-Sahalia, Yacine - In: Journal of econometrics 160 (2011) 1, pp. 190-203
Persistent link: https://www.econbiz.de/10009242525
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Ultra high frequency volatility estimation with dependent microstructure noise
Aït-Sahalia, Yacine; Mykland, Per A.; Zhang, Lan - In: Journal of econometrics 160 (2011) 1, pp. 160-175
Persistent link: https://www.econbiz.de/10009242527
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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
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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
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Big data in dynamic predictive econometric modeling
Diebold, Francis X.; Ghysels, Eric; Mykland, Per A.; … - In: Journal of econometrics 212 (2019) 1, pp. 1-3
Persistent link: https://www.econbiz.de/10012303857
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Special issue: big data in dynamic predictive econometric modeling
Diebold, Francis X. (ed.); Ghysels, Eric (ed.);  … - 2019
Persistent link: https://www.econbiz.de/10012304014
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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
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Realized regression with asynchronous and noisy high frequency and high dimensional data
Chen, Dachuan; Mykland, Per A.; Zhang, Lan - In: Journal of econometrics 239 (2024) 2, pp. 1-20
Persistent link: https://www.econbiz.de/10015074483
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Edgeworth expansions for realized volatility and related estimators
Zhang, Lan; Mykland, Per A.; Aït-Sahalia, Yacine - In: Journal of econometrics 160 (2011) 1, pp. 190-204
Persistent link: https://www.econbiz.de/10008770544