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Mykland, Per A.
15
Zhang, Lan
10
Ai͏̈t-Sahalia, Yacine
7
Mykland, Per
5
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3
Lee, Suzanne S.
3
ARNOLD, MICHAEL
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Ait-Sahalia, Yacine
1
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Journal of econometrics
6
Journal of the American Statistical Association : JASA
4
The review of financial studies
3
Working paper / National Bureau of Economic Research, Inc
3
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
2
Technical working paper / National Bureau of Economic Research
2
Finance and stochastics
1
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1
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1
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OLC EcoSci
ECONIS (ZBW)
105
RePEc
40
EconStor
3
USB Cologne (EcoSocSci)
1
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1
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1
EDGEWORTH EXPANSIONS FOR REALIZED VOLATILITY AND RELATED ESTIMATORS
Zhang, Lan
;
Mykland, Per
;
Ai͏̈t-Sahalia, Yacine
-
2005
Persistent link: https://www.econbiz.de/10005919904
Saved in:
2
Theory and Methods - A Tale of Two Time Scales: Determining Integrated Volatility With Noisy High-Frequency Data
Zhang, Lan
;
Mykland, Per A.
;
Ai͏̈t-Sahalia, Yacine
- In:
Journal of the American Statistical Association : JASA
100
(
2005
)
472
,
pp. 1394-1411
Persistent link: https://www.econbiz.de/10006605479
Saved in:
3
The 2005 Invited Address - Comment - Realized Variance and Market Microstructure Noise
Ai͏̈t-Sahalia, Yacine
;
Mykland, Per A.
;
Zhang, Lan
- In:
Journal of business & economic statistics : JBES ; a …
24
(
2006
)
2
,
pp. 162-166
Persistent link: https://www.econbiz.de/10008222692
Saved in:
4
How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise
Aït-Sahalia, Yacine
;
Mykland, Per A.
;
Zhang, Lan
- In:
The review of financial studies
18
(
2013
)
2
,
pp. 351-350
Persistent link: https://www.econbiz.de/10010114501
Saved in:
5
A TALE OF TWO TIME SCALES: DETERMINING INTEGRATED VOLATILITY WITH NOISY HIGH-FREQUENCY DATA
Zhang, Lan
;
Mykland, Per A.
;
Ait-Sahalia, Yacine
-
2003
Persistent link: https://www.econbiz.de/10006966215
Saved in:
6
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
Saved in:
7
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. 160-176
Persistent link: https://www.econbiz.de/10008770546
Saved in:
8
ULTRA HIGH FREQUENCY VOLATILITY ESTIMATION WITH DEPENDENT MICROSTRUCTURE NOISE
Ai͏̈t-Sahalia, Yacine
;
Mykland, Per A.
;
Zhang, Lan
-
2005
Persistent link: https://www.econbiz.de/10006959146
Saved in:
9
Inference for Continuous Semimartingales Observed at High Frequency
Mykland, Pera
;
Zhang, Lan
- In:
Econometrica : journal of the Econometric Society, an …
77
(
2009
)
5
,
pp. 1403-1446
Persistent link: https://www.econbiz.de/10008318918
Saved in:
10
Estimating covariation: Epps effect, microstructure noise
Zhang, Lan
- In:
Journal of econometrics
160
(
2011
)
1
,
pp. 33-48
Persistent link: https://www.econbiz.de/10008770556
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