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Generalized ARMA models with martingale difference errors
Zheng, Tingguo; Xiao, Han; Chen, Rong - In: Journal of econometrics 189 (2015) 2, pp. 492-506
Persistent link: https://www.econbiz.de/10011504639
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A tale of two time scales : determining integrated volatility with noisy high-frequency data
Zhang, Lan; Mykland, Per A.; Aït-Sahalia, Yacine - 2003
Persistent link: https://www.econbiz.de/10001833930
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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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Realized volatility
Meddahi, Nour; Mykland, Per A.; Shephard, Neil G. - In: Journal of econometrics 160 (2011) 1, pp. 1
Persistent link: https://www.econbiz.de/10009242567
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Realized volatility : [most of the papers ... were presented at the CIRANO/CIREQ Conference on "Realized volatility", April 2006]
Meddahi, Nour (contributor); Mykland, Per A. (contributor);  … - 2010
Persistent link: https://www.econbiz.de/10009244600
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Realized volatility when sampling times are possibly endogenous
Li, Yingying; Mykland, Per A.; Renault, Eric; Zhang, Lan; … - In: Econometric theory 30 (2014) 3, pp. 580-605
Persistent link: https://www.econbiz.de/10010500887
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Estimating volatility in the presence of market microstructure noise: a review of the theory and practical considerations
Aït-Sahalia, Yacine; Mykland, Per A. - In: Handbook of financial time series, (pp. 577-598). 2009
Persistent link: https://www.econbiz.de/10003834187
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A tale of two time scales : determining integrated volatility with noisy high-frequency data
Zhang, Lan; Mykland, Per A.; Aït-Sahalia, Yacine - In: Journal of the American Statistical Association : JASA 100 (2005) 472, pp. 1393-1411
Persistent link: https://www.econbiz.de/10003242153
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Rounding errors and volatility estimation
Li, Yingying; Mykland, Per A. - In: Journal of financial econometrics : official journal of … 13 (2015) 2, pp. 478-504
Persistent link: https://www.econbiz.de/10011339292