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A Gaussian calculus for inference from high frequency data
Mykland, Per A. - In: Annals of finance 8 (2012) 2/3, pp. 235-258
Persistent link: https://www.econbiz.de/10009548091
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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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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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The Effects of Random and Discrete Sampling When Estimating Continuous-Time Diffusions
Aït-Sahalia, Yacine; Mykland, Per A. - 2021
High-frequency financial data are not only discretely sampled in time but the time separating successive observations is often random. We analyze the consequences of this dual feature of the data when estimating a continuous-time model. In particular, we measure the additional effects of the...
Persistent link: https://www.econbiz.de/10013210694
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The Effects of Random and Discrete Sampling When Estimating Continuous-Time Diffusions
Ait-Sahalia, Yacine - 2002
High-frequency financial data are not only discretely sampled in time but the time separating successive observations is often random. We analyze the consequences of this dual feature of the data when estimating a continuous-time model. In particular, we measure the additional effects of the...
Persistent link: https://www.econbiz.de/10012469833