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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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Efficient and Feasible Inference for the Components of Financial Variation Using Blocked Multipower Variation
Mykland, Per A. - 2012
High frequency financial data allows us to learn more about volatility, volatility of volatility and jumps. One of the key techniques developed in the literature in recent years has been bipower variation and its multipower extension, which estimates time-varying volatility robustly to jumps. We...
Persistent link: https://www.econbiz.de/10013110402
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Efficient and feasible inference for the components of financial variation using blocked multipower variation
Mykland, Per A.; Shephard, Neil G.; Sheppard, Kevin - 2012
Persistent link: https://www.econbiz.de/10009531529
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Efficient and feasible inference for the components of financial variation using blocked multipower variation
Mykland, Per A.; Shephard, Neil G.; Sheppard, Kevin - 2012
Persistent link: https://www.econbiz.de/10009532691
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Stochastic volatility : selected readings
Shephard, Neil G. (contributor); Shephard, Neil G. (ed.) - 2005
Persistent link: https://www.econbiz.de/10001718768
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The interpolation of options
Mykland, Per A. - In: Finance and stochastics 7 (2003) 4, pp. 417-432
Persistent link: https://www.econbiz.de/10001800674
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Combining statistical intervals and market prices : The worst case state price distribution
Mykland, Per A. - In: Journal of econometrics 212 (2019) 1, pp. 272-285
Persistent link: https://www.econbiz.de/10012303929
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Option pricing bounds and statistical uncertainty : using econometrics to find an exit strategy in derivatives trading
Mykland, Per A. - 2010
Persistent link: https://www.econbiz.de/10003900766
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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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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