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~subject:"Volatility"
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Volatility
Estimation theory
31
Schätztheorie
31
Volatilität
30
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26
Market microstructure
25
Theory
25
Marktmikrostruktur
23
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Mykland, Per A.
30
Zhang, Lan
19
Aït-Sahalia, Yacine
9
Li, Yingying
4
Ait-Sahalia, Yacine
2
Chen, Dachuan
2
Lee, Suzanne S.
2
Meddahi, Nour
2
Renault, Eric
2
Shephard, Neil G.
2
Wang, Christina Dan
2
Zheng, Xinghua
2
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1
Chen, Richard Y.
1
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National Bureau of Economic Research
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Conference on Realized Volatility <2006, Montréal>
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1
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
Saved in:
2
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
Saved in:
3
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
Saved in:
4
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
Saved in:
5
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
Saved in:
6
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
Saved in:
7
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
Saved in:
8
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
Saved in:
9
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
Saved in:
10
Model-free approaches to discern non-stationary microstructure noise and time-varying liquidity in high-frequency data
Chen, Richard Y.
;
Mykland, Per A.
- In:
Journal of econometrics
200
(
2017
)
1
,
pp. 79-103
Persistent link: https://www.econbiz.de/10011897700
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