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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

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

Jumps in financial markets : a new nonparametric test and jump dynamics

Lee, Suzanne S.; Mykland, Per A. - In: The review of financial studies 21 (2008) 6, pp. 2535-2563

Persistent link: https://www.econbiz.de/10003805074

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

Microstructure noise in the continuous case : the pre-averaging approach

Jacod, Jean; Li, Yingying; Mykland, Per A.; Podolskij, Mark - 2007

This paper presents a generalized pre-averaging approach for estimating the integrated volatility. This approach also provides consistent estimators of other powers of volatility in particular, it gives feasible ways to consistently estimate the asymptotic variance of the estimator of the...

Persistent link: https://www.econbiz.de/10003835674

Edgeworth expansion for realized volatility and related estimators

Zhang, Lan; Mykland, Per A.; Aït-Sahalia, Yacine - 2005

Persistent link: https://www.econbiz.de/10003217402

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

An analysis of Hansen-Scheinkman moment estimators for discretely and randomly sampled diffusions

Aït-Sahalia, Yacine; Mykland, Per A. - In: Journal of econometrics 144 (2008) 1, pp. 1-26

Persistent link: https://www.econbiz.de/10003723575

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

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