[go: up one dir, main page]
More Web Proxy on the site http://driver.im/
create a website
Ultra high frequency volatility estimation with dependent microstructure noise. (2005). Ait-Sahalia, Yacine ; Zhang, Lan ; Mykland, Per A..
In: Discussion Paper Series 1: Economic Studies.
RePEc:zbw:bubdp1:4224.

Full description at Econpapers || Download paper

Cited: 38

Citations received by this document

Cites: 20

References cited by this document

Cocites: 46

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

  1. Understanding jumps in high frequency digital asset markets. (2021). Härdle, Wolfgang ; Hardle, Wolfgang ; Sizov, Sergej ; Nagy, Odett ; Saef, Danial.
    In: IRTG 1792 Discussion Papers.
    RePEc:zbw:irtgdp:2021019.

    Full description at Econpapers || Download paper

  2. The one-trading-day-ahead forecast errors of intra-day realized volatility. (2016). Degiannakis, Stavros.
    In: MPRA Paper.
    RePEc:pra:mprapa:80163.

    Full description at Econpapers || Download paper

  3. Asymmetric Realized Volatility Risk. (2014). McAleer, Michael ; Allen, David ; Scharth, and Marcel .
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20140075.

    Full description at Econpapers || Download paper

  4. Asymmetric Realized Volatility Risk. (2014). Scharth, Marcel ; McAleer, Michael ; Allen, David.
    In: JRFM.
    RePEc:gam:jjrfmx:v:7:y:2014:i:2:p:80-109:d:37458.

    Full description at Econpapers || Download paper

  5. Realized Volatility Risk. (2013). McAleer, Michael ; Allen, David ; Scharth, Marcel.
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20130092.

    Full description at Econpapers || Download paper

  6. Volatility estimators based on daily price ranges versus the realized range. (2012). Todorova, Neda.
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:22:y:2012:i:3:p:215-229.

    Full description at Econpapers || Download paper

  7. On the Correlation Structure of Microstructure Noise: A Financial Economic Approach. (2012). Strasser, Georg ; Diebold, Francis.
    In: Boston College Working Papers in Economics.
    RePEc:boc:bocoec:693.

    Full description at Econpapers || Download paper

  8. Bias-corrected realized variance under dependent microstructure noise. (2011). Oya, Kosuke.
    In: Mathematics and Computers in Simulation (MATCOM).
    RePEc:eee:matcom:v:81:y:2011:i:7:p:1290-1298.

    Full description at Econpapers || Download paper

  9. Do high-frequency measures of volatility improve forecasts of return distributions?. (2011). McCurdy, Tom ; Maheu, John.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:160:y:2011:i:1:p:69-76.

    Full description at Econpapers || Download paper

  10. High-frequency returns, jumps and the mixture of normals hypothesis. (2011). Paye, Bradley S. ; Fleming, Jeff .
    In: Journal of Econometrics.
    RePEc:eee:econom:v:160:y:2011:i:1:p:119-128.

    Full description at Econpapers || Download paper

  11. Realized Volatility Risk. (2010). Scharth, Marcel ; McAleer, Michael ; Allen, David.
    In: CARF F-Series.
    RePEc:cfi:fseres:cf197.

    Full description at Econpapers || Download paper

  12. Realized Volatility Risk. (2010). Scharth, Marcel ; McAleer, Michael ; Allen, David.
    In: Working Papers in Economics.
    RePEc:cbt:econwp:10/26.

    Full description at Econpapers || Download paper

  13. Return and Volatility Reactions to Monthly Announcements of Business Cycle Forecasts: An Event Study Based on High-Frequency Data. (2009). Entorf, Horst ; Gro, Anne ; Steiner, Christian.
    In: ZEW Discussion Papers.
    RePEc:zbw:zewdip:7535.

    Full description at Econpapers || Download paper

  14. Realized Volatility Risk. (2009). Scharth, Marcel ; McAleer, Michael ; Allen, David.
    In: CIRJE F-Series.
    RePEc:tky:fseres:2009cf693.

    Full description at Econpapers || Download paper

  15. Does the option market produce superior forecasts of noise-corrected volatility measures?. (2009). Martin, Gael ; Reidy, Andrew ; Wright, Jill .
    In: Journal of Applied Econometrics.
    RePEc:jae:japmet:v:24:y:2009:i:1:p:77-104.

    Full description at Econpapers || Download paper

  16. Microstructure noise in the continuous case: The pre-averaging approach. (2009). Podolskij, Mark ; Jacod, Jean ; Li, Yingying ; Mykland, Per A. ; Vetter, Mathias .
    In: Stochastic Processes and their Applications.
    RePEc:eee:spapps:v:119:y:2009:i:7:p:2249-2276.

    Full description at Econpapers || Download paper

  17. Realized volatility of index constituent stocks in Hong Kong. (2009). Yeung, Hinson S. ; Chow, Ying-Foon ; Lam, James T. K., .
    In: Mathematics and Computers in Simulation (MATCOM).
    RePEc:eee:matcom:v:79:y:2009:i:9:p:2809-2818.

    Full description at Econpapers || Download paper

  18. Estimating stochastic volatility models using daily returns and realized volatility simultaneously. (2009). Takahashi, Makoto ; Omori, Yasuhiro ; Watanabe, Toshiaki .
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:53:y:2009:i:6:p:2404-2426.

    Full description at Econpapers || Download paper

  19. High frequency market microstructure noise estimates and liquidity measures. (2009). Yu, Jialin ; Ait-Sahalia, Yacine.
    In: Papers.
    RePEc:arx:papers:0906.1444.

    Full description at Econpapers || Download paper

  20. On the correlation structure of microstructure noise in theory and practice. (2008). Strasser, Georg ; Diebold, Francis.
    In: CFS Working Paper Series.
    RePEc:zbw:cfswop:200832.

    Full description at Econpapers || Download paper

  21. On the Correlation Structure of Microstructure Noise in Theory and Practice. (2008). Strasser, Georg ; Diebold, Francis.
    In: PIER Working Paper Archive.
    RePEc:pen:papers:08-038.

    Full description at Econpapers || Download paper

  22. A Test for Dependence and Covariance Estimator of Market Microstructure Noise. (2008). Oya, Kosuke ; Ubukata, Masato.
    In: Discussion Papers in Economics and Business.
    RePEc:osk:wpaper:0703r2.

    Full description at Econpapers || Download paper

  23. High Frequency Market Microstructure Noise Estimates and Liquidity Measures. (2008). Ait-Sahalia, Yacine ; Yu, Jialin .
    In: NBER Working Papers.
    RePEc:nbr:nberwo:13825.

    Full description at Econpapers || Download paper

  24. A multiple regime smooth transition Heterogeneous Autoregressive model for long memory and asymmetries. (2008). Medeiros, Marcelo ; McAleer, Michael.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:147:y:2008:i:1:p:104-119.

    Full description at Econpapers || Download paper

  25. A multiple regime smooth transition heterogeneous autoregressive model for long memory and asymmetries. (2007). Medeiros, Marcelo ; McAller, Michael.
    In: Textos para discussão.
    RePEc:rio:texdis:544.

    Full description at Econpapers || Download paper

  26. Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification test for Affine Term Structure Models. (2007). Benzoni, Luca ; Andersen, Torben.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:12962.

    Full description at Econpapers || Download paper

  27. Information Loss in Volatility Measurement with Flat Price Trading. (2007). Yu, Jun ; Phillips, Peter.
    In: Cowles Foundation Discussion Papers.
    RePEc:cwl:cwldpp:1598.

    Full description at Econpapers || Download paper

  28. Realized Daily Variance of S&P 500 Cash Index: A Revaluation of Stylized Facts. (2007). Yu, Jun ; JunYu, ; Huang, Shirley J. ; Liu, Qianqiu .
    In: Annals of Economics and Finance.
    RePEc:cuf:journl:y:2007:v:8:i:1:p:33-56.

    Full description at Econpapers || Download paper

  29. Information Loss in Volatility Measurement with Flat Price Trading. (2007). Yu, Jun ; Phillips, Peter.
    In: Levine's Bibliography.
    RePEc:cla:levrem:321307000000000805.

    Full description at Econpapers || Download paper

  30. Econometric analysis of high frequency data. (2006). Herwartz, Helmut.
    In: AStA Advances in Statistical Analysis.
    RePEc:spr:alstar:v:90:y:2006:i:1:p:89-104.

    Full description at Econpapers || Download paper

  31. Predictive Density Estimators for Daily Volatility Based on the Use of Realized Measures. (2006). Swanson, Norman ; Corradi, Valentina ; Distaso, Walter .
    In: Departmental Working Papers.
    RePEc:rut:rutres:200620.

    Full description at Econpapers || Download paper

  32. Subsampling realised kernels. (2006). Shephard, Neil ; Lunde, Asger ; Barndorff-Nielsen, Ole.
    In: Economics Series Working Papers.
    RePEc:oxf:wpaper:278.

    Full description at Econpapers || Download paper

  33. Subsampling realised kernels. (2006). Shephard, Neil ; Lunde, Asger ; Hansen, Peter ; Barndorff-Nielsen, Ole.
    In: Economics Papers.
    RePEc:nuf:econwp:0610.

    Full description at Econpapers || Download paper

  34. Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise. (2006). Shephard, Neil ; Lunde, Asger ; Hansen, Peter ; Barndorff-Nielsen, Ole.
    In: Economics Papers.
    RePEc:nuf:econwp:0603.

    Full description at Econpapers || Download paper

  35. Assessing the Impact of Market Microstructure Noise and Random Jumps on the Relative Forecasting Performance of Option-Implied and Returns-Based Volatility. (2006). Martin, Gael ; Reidy, Andrew ; Wright, Jill .
    In: Monash Econometrics and Business Statistics Working Papers.
    RePEc:msh:ebswps:2006-10.

    Full description at Econpapers || Download paper

  36. Comment on “Realized Variance and Market Microstructure Noise” by Peter R. Hansen and Asger Lunde. (2005). Yu, Jun ; Phillips, Peter.
    In: Working Papers.
    RePEc:siu:wpaper:13-2005.

    Full description at Econpapers || Download paper

  37. Variation, jumps, market frictions and high frequency data in financial econometrics. (2005). Shephard, Neil ; Barndorff-Nielsen, Ole.
    In: Economics Series Working Papers.
    RePEc:oxf:wpaper:240.

    Full description at Econpapers || Download paper

  38. Variation, jumps, market frictions and high frequency data in financial econometrics. (2005). Shephard, Neil ; Barndorff-Nielsen, Ole.
    In: Economics Papers.
    RePEc:nuf:econwp:0516.

    Full description at Econpapers || Download paper

References

References cited by this document

  1. Aït-Sahalia, Y., and P. A. Mykland (2003): The Effects of Random and Discrete Sampling When Estimating Continuous-Time Diffusions, Econometrica, 71, 483--549.

  2. Aït-Sahalia, Y., P. A. Mykland, and L. Zhang (2005): How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise, Review of Financial Studies, 18, 351--416.

  3. Andersen, T. G., T. Bollerslev, F. X. Diebold, and P. Labys (2001): The Distribution of Exchange Rate Realized Volatility, Journal of the American Statistical Association, 96, 42--55.

  4. Barclay, M. J., T. Hendershott, and D. T. McCormick (2003): Competition among Trading Venues: Information and Trading on Electronic Communications Networks, Journal of Finance, 58, 2637--2665.

  5. Barndorff-Nielsen, O. E., and N. Shephard (2002): Econometric Analysis of Realized Volatility and Its Use in Estimating Stochastic Volatility Models, Journal of the Royal Statistical Society, B, 64, 253--280.

  6. Barndorff-Nielsen, O. E., P. R. Hansen, A. Lunde, and N. Shephard (2004): Regular and Modified Kernel-Based Estimators of Integrated Variance: The Case with Independent Noise, Discussion paper, Department of Mathematical Sciences, University of Aarhus.

  7. Black, F. (1986): Noise, Journal of Finance, 41, 529--543.
    Paper not yet in RePEc: Add citation now

  8. Choi, J. Y., D. Salandro, and K. Shastri (1988): On the Estimation of Bid-Ask Spreads: Theory and Evidence, The Journal of Financial and Quantitative Analysis, 23, 219--230.

  9. French, K., and R. Roll (1986): Stock Return Variances: The Arrival of Information and the Reaction of Traders, Journal of Financial Economics, 17, 5--26.

  10. Gençay, R., G. Ballocchi, M. Dacorogna, R. Olsen, and O. Pictet (2002): Real-Time Trading Models and the Statistical Properties of Foreign Exchange Rates, International Economic Review, 43, 463-- 491.

  11. Hall, P., and C. C. Heyde (1980): Martingale Limit Theory and Its Application. Academic Press, Boston.
    Paper not yet in RePEc: Add citation now
  12. Hansen, P. R., and A. Lunde (2004): An Unbiased Measure of Realized Variance, Discussion paper, Stanford University, Department of Economics.
    Paper not yet in RePEc: Add citation now

  13. Harris, L. (1990): Statistical Properties of the Roll Serial Covariance Bid/Ask Spread Estimator, Journal of Finance, 45, 579--590.

  14. Jacod, J. (1994): Limit of Random Measures Associated with the Increments of a Brownian Semimartingale, Discussion paper, Université de Paris VI.
    Paper not yet in RePEc: Add citation now
  15. Jacod, J., and P. Protter (1998): Asymptotic Error Distributions for the Euler Method for Stochastic Differential Equations, Annals of Probability, 26, 267--307.
    Paper not yet in RePEc: Add citation now
  16. Mykland, P. A., and L. Zhang (2002): ANOVA for Diffusions, Discussion paper, The University of Chicago, Department of Statistics.
    Paper not yet in RePEc: Add citation now
  17. Roll, R. (1984): A Simple Model of the Implicit Bid-Ask Spread in an Efficient Market, Journal of Finance, 39, 1127--1139.
    Paper not yet in RePEc: Add citation now
  18. Stoll, H. (2000): Friction, Journal of Finance, 55, 1479--1514.
    Paper not yet in RePEc: Add citation now
  19. Zhang, L. (2004): Efficient Estimation of Stochastic Volatility Using Noisy Observations: A Multi-Scale Approach, Discussion paper, Carnegie-Mellon University.
    Paper not yet in RePEc: Add citation now
  20. Zhang, L., P. A. Mykland, and Y. Aït-Sahalia (2002): A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High-Frequency Data, forthcoming in the Journal of the American Statistical Association.
    Paper not yet in RePEc: Add citation now

Cocites

Documents in RePEc which have cited the same bibliography

  1. Maximum likelihood estimation of latent Markov models using closed-form approximations. (2024). Xu, Chen ; Li, Chenxu ; Ait-Sahalia, Yacine.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:240:y:2024:i:2:s0304407620303389.

    Full description at Econpapers || Download paper

  2. Random discretization of stationary continuous time processes. (2021). Viano, Marie-Claude ; Robet, Caroline ; Philippe, Anne.
    In: Metrika: International Journal for Theoretical and Applied Statistics.
    RePEc:spr:metrik:v:84:y:2021:i:3:d:10.1007_s00184-020-00783-1.

    Full description at Econpapers || Download paper

  3. Estimation of Volatility Functions in Jump Diffusions Using Truncated Bipower Increments. (2020). Wang, Bin ; Park, Joon ; Kim, Jihyun.
    In: TSE Working Papers.
    RePEc:tse:wpaper:124234.

    Full description at Econpapers || Download paper

  4. Ordinal-response models for irregularly spaced transactions: A forecasting exercise. (2020). Aknouche, Abdelhakim ; Tsionas, Mike G ; Dimitrakopoulos, Stefanos.
    In: MPRA Paper.
    RePEc:pra:mprapa:103250.

    Full description at Econpapers || Download paper

  5. The term structure of equity and variance risk premia. (2020). Ait-Sahalia, Yacine ; Mancini, Loriano ; Karaman, Mustafa.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:219:y:2020:i:2:p:204-230.

    Full description at Econpapers || Download paper

  6. Estimation of volatility in a high-frequency setting: a short review. (2019). Jacod, Jean.
    In: Decisions in Economics and Finance.
    RePEc:spr:decfin:v:42:y:2019:i:2:d:10.1007_s10203-019-00253-y.

    Full description at Econpapers || Download paper

  7. Bond and option prices with permanent shocks. (2019). Al-Zoubi, Haitham A.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:53:y:2019:i:c:p:272-290.

    Full description at Econpapers || Download paper

  8. A new delta expansion for multivariate diffusions via the Itô-Taylor expansion. (2019). Wan, Xiangwei ; Chen, Nan ; Yang, Nian.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:209:y:2019:i:2:p:256-288.

    Full description at Econpapers || Download paper

  9. Estimation of Dynamic Mixed Hitting Time Model Using Characteristic Function Based Moments. (2018). Ekaputra, Irwan ; Husodo, Zaafri Ananto ; Purwono, Yogo.
    In: Computational Economics.
    RePEc:kap:compec:v:51:y:2018:i:2:d:10.1007_s10614-017-9692-6.

    Full description at Econpapers || Download paper

  10. Estimating the integrated volatility using high-frequency data with zero durations. (2018). Liu, Zhi ; Jing, Bing-Yi ; Kong, Xin-Bing.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:204:y:2018:i:1:p:18-32.

    Full description at Econpapers || Download paper

  11. Spectral estimation for diffusions with random sampling times. (2016). Chorowski, Jakub ; Trabs, Mathias .
    In: Stochastic Processes and their Applications.
    RePEc:eee:spapps:v:126:y:2016:i:10:p:2976-3008.

    Full description at Econpapers || Download paper

  12. Estimating jump–diffusions using closed-form likelihood expansions. (2016). Li, Chenxu ; Chen, Dachuan.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:195:y:2016:i:1:p:51-70.

    Full description at Econpapers || Download paper

  13. Efficient computation of the quasi likelihood function for discretely observed diffusion processes. (2016). Hook, Lars Josef ; Lindstrom, Erik.
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:103:y:2016:i:c:p:426-437.

    Full description at Econpapers || Download paper

  14. Modeling financial contagion using mutually exciting jump processes. (2015). Laeven, Roger ; Ait-Sahalia, Yacine ; Cacho-Diaz, Julio .
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:117:y:2015:i:3:p:585-606.

    Full description at Econpapers || Download paper

  15. Efficient Computation of the Quasi Likelihood function for Discretely Observed Diffusion Processes. (2015). Hook, Lars Josef ; Lindstrom, Erik.
    In: Papers.
    RePEc:arx:papers:1509.07751.

    Full description at Econpapers || Download paper

  16. Volatility inference in the presence of both endogenous time and microstructure noise. (2013). Zheng, Xinghua ; Zhang, Zhiyuan ; Li, Yingying.
    In: Stochastic Processes and their Applications.
    RePEc:eee:spapps:v:123:y:2013:i:7:p:2696-2727.

    Full description at Econpapers || Download paper

  17. Intraday dynamics of volatility and duration: Evidence from Chinese stocks. (2012). Maheu, John ; Liu, Chun.
    In: Pacific-Basin Finance Journal.
    RePEc:eee:pacfin:v:20:y:2012:i:3:p:329-348.

    Full description at Econpapers || Download paper

  18. Functional data analysis for volatility. (2011). Mller, Hans-Georg ; STADTMLLER, ULRICH ; Sen, Rituparna.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:165:y:2011:i:2:p:233-245.

    Full description at Econpapers || Download paper

  19. Intraday Dynamics of Volatility and Duration: Evidence from the Chinese Stock Market. (2010). Maheu, John ; Liu, Chun.
    In: Working Papers.
    RePEc:tor:tecipa:tecipa-401.

    Full description at Econpapers || Download paper

  20. Quasi-maximum likelihood estimation of volatility with high frequency data. (2010). Xiu, Dacheng.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:159:y:2010:i:1:p:235-250.

    Full description at Econpapers || Download paper

  21. Maximum likelihood estimation for integrated diffusion processes. (2010). Sørensen, Michael ; Sorensen, Michael ; Baltazar-Larios, Fernando .
    In: CREATES Research Papers.
    RePEc:aah:create:2010-33.

    Full description at Econpapers || Download paper

  22. Forecast Evaluation of Explanatory Models of Financial Variability. (2009). Sucarrat, Genaro.
    In: Economics - The Open-Access, Open-Assessment E-Journal.
    RePEc:zbw:ifweej:7594.

    Full description at Econpapers || Download paper

  23. How Duration Between Trades of Underlying Securities Affects Option Prices. (2009). Cartea, Álvaro ; Meyer-Brandis, Thilo.
    In: MPRA Paper.
    RePEc:pra:mprapa:16179.

    Full description at Econpapers || Download paper

  24. Nonparametric Transition-Based Tests for Jump Diffusions. (2009). Fan, Jianqing ; Peng, Heng ; At-Sahalia, Yacine .
    In: Journal of the American Statistical Association.
    RePEc:bes:jnlasa:v:104:i:487:y:2009:p:1102-1116.

    Full description at Econpapers || Download paper

  25. Estimating Affine Multifactor Term Structure Models Using Closed-Form Likelihood Expansions. (2008). Ait-Sahalia, Yacine ; Kimmel, Robert L..
    In: Working Paper Series.
    RePEc:ecl:ohidic:2008-19.

    Full description at Econpapers || Download paper

  26. Parametric inference for discretely sampled stochastic differential equations. (2008). Sørensen, Michael ; Sorensen, Michael.
    In: CREATES Research Papers.
    RePEc:aah:create:2008-18.

    Full description at Econpapers || Download paper

  27. Efficient estimation for ergodic diffusions sampled at high frequency. (2008). Sørensen, Michael ; Sorensen, Michael.
    In: CREATES Research Papers.
    RePEc:aah:create:2007-46.

    Full description at Econpapers || Download paper

  28. How Does Duration Between Trades of Underlying Securities Affect Option Prices. (2007). Cartea, Álvaro ; Meyer-Brandis, Thilo.
    In: Birkbeck Working Papers in Economics and Finance.
    RePEc:bbk:bbkefp:0721.

    Full description at Econpapers || Download paper

  29. A Range-Based Multivariate Stochastic Volatility Model for Exchange Rates. (2006). Mahieu, Ronald ; Tims, Ben .
    In: Econometric Reviews.
    RePEc:taf:emetrv:v:25:y:2006:i:2-3:p:409-424.

    Full description at Econpapers || Download paper

  30. Ultra high frequency volatility estimation with dependent microstructure noise. (2005). Ait-Sahalia, Yacine ; Zhang, Lan ; Mykland, Per A..
    In: Discussion Paper Series 1: Economic Studies.
    RePEc:zbw:bubdp1:4224.

    Full description at Econpapers || Download paper

  31. Ultra High Frequency Volatility Estimation with Dependent Microstructure Noise. (2005). Ait-Sahalia, Yacine ; Zhang, Lan ; Mykland, Per A..
    In: NBER Working Papers.
    RePEc:nbr:nberwo:11380.

    Full description at Econpapers || Download paper

  32. Weak and Semi-Strong Form Stock Return Predictability Revisited. (2005). Ferson, Wayne ; Heuson, Andrea ; Su, Tie .
    In: NBER Working Papers.
    RePEc:nbr:nberwo:11021.

    Full description at Econpapers || Download paper

  33. Weak-Form and Semi-Strong-Form Stock Return Predictability Revisited. (2005). Heuson, Andrea ; Ferson, Wayne E. ; Su, Tie .
    In: Management Science.
    RePEc:inm:ormnsc:v:51:y:2005:i:10:p:1582-1592.

    Full description at Econpapers || Download paper

  34. On the Statistical Estimation of Diffusion Processes: A Partial Survey. (2004). Cysne, Rubens.
    In: Brazilian Review of Econometrics.
    RePEc:sbe:breart:v:24:y:2004:i:2:a:2713.

    Full description at Econpapers || Download paper

  35. Maximum Likelihood Estimation of Stochastic Volatility Models. (2004). Ait-Sahalia, Yacine ; Kimmel, Robert.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:10579.

    Full description at Econpapers || Download paper

  36. On the statistical estimation of diffusion processes - a partial survey. (2004). Cysne, Rubens.
    In: FGV/EPGE Economics Working Papers (Ensaios Economicos da EPGE).
    RePEc:fgv:epgewp:570.

    Full description at Econpapers || Download paper

  37. Integrated volatility measuring from unevenly sampled observations. (2004). .
    In: Economics Bulletin.
    RePEc:ebl:ecbull:v:3:y:2004:i:36:p:1-8.

    Full description at Econpapers || Download paper

  38. A selective overview of nonparametric methods in financial econometrics. (2004). Fan, Jianqing.
    In: Papers.
    RePEc:arx:papers:math/0411034.

    Full description at Econpapers || Download paper

  39. Disentangling Volatility from Jumps. (2003). Ait-Sahalia, Yacine.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:9915.

    Full description at Econpapers || Download paper

  40. How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise. (2003). Ait-Sahalia, Yacine ; Mykland, Per A..
    In: NBER Working Papers.
    RePEc:nbr:nberwo:9611.

    Full description at Econpapers || Download paper

  41. Closed-Form Likelihood Expansions for Multivariate Diffusions. (2002). Ait-Sahalia, Yacine.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:8956.

    Full description at Econpapers || Download paper

  42. Estimating Affine Multifactor Term Structure Models Using Closed-Form Likelihood Expansions. (2002). Ait-Sahalia, Yacine ; Kimmel, Robert.
    In: NBER Technical Working Papers.
    RePEc:nbr:nberte:0286.

    Full description at Econpapers || Download paper

  43. Econometric Methods for Endogenously Sampled Time Series: The Case of Commodity Price Speculation in the Steel Market. (2002). Rust, John ; Hall, George.
    In: NBER Technical Working Papers.
    RePEc:nbr:nberte:0278.

    Full description at Econpapers || Download paper

  44. Econometric Methods for Endogenously Sampled Time Series: The Case of Commodity Price Speculation in the Steel Market. (2002). Rust, John ; Hall, George.
    In: Cowles Foundation Discussion Papers.
    RePEc:cwl:cwldpp:1376.

    Full description at Econpapers || Download paper

  45. Aggregation of Nonparametric Estimators for Volatility Matrix. (). Fan, Jianqing ; Jinchi Lv, .
    In: Journal of Financial Econometrics.
    RePEc:oup:jfinec:v:5:y::i:3:p:321-357.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2024-12-28 15:33:40 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated October, 6 2023. Contact: CitEc Team.