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Evaluating hedging errors : an asymptotic approach

Hayashi, Takaki; Mykland, Per A. - In: Mathematical finance : an international journal of … 15 (2005) 2, pp. 309-343

Persistent link: https://www.econbiz.de/10002725490

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

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

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

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

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

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

On generating Monte Carlo samples of continuous diffusion bridges

Lin, Ming; Chen, Rong; Mykland, Per A. - In: Journal of the American Statistical Association : JASA 105 (2010) 490, pp. 820-838

Persistent link: https://www.econbiz.de/10008736836

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

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