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On the jump activity index for semimartingales
Jing, Bingyi; Kong, Xinbing; Liu, Zhi; Mykland, Per A. - In: Journal of econometrics 166 (2012) 2, pp. 213-223
Persistent link: https://www.econbiz.de/10009509230
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Inference for continuous semimartingales observed at high frequency
Mykland, Per A.; Zhang, Lan - In: Econometrica : journal of the Econometric Society, an … 77 (2009) 5, pp. 1403-1445
Persistent link: https://www.econbiz.de/10003914908
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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 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