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A Tale of Two Time Scales: Determining Integrated Volatility With Noisy High-Frequency Data

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Author Info
Zhang, Lan
Mykland, Per A.
Ait-Sahalia, Yacine

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Article provided by American Statistical Association in its journal Journal of the American Statistical Association.

Volume (Year): 100 (2005)
Issue (Month): (December)
Pages: 1394-1411
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Handle: RePEc:bes:jnlasa:v:100:y:2005:p:1394-1411

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Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Chernov, Mikhail & Ghysels, Eric, 2000. "A study towards a unified approach to the joint estimation of objective and risk neutral measures for the purpose of options valuation," Journal of Financial Economics, Elsevier, vol. 56(3), pages 407-458, June. [Downloadable!] (restricted)
  2. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys, 1999. "The Distribution of Exchange Rate Volatility," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-059, New York University, Leonard N. Stern School of Business-. [Downloadable!]
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  3. A. Ronald Gallant & Chien-Te Hsu & George Tauchen, 1999. "Using Daily Range Data To Calibrate Volatility Diffusions And Extract The Forward Integrated Variance," The Review of Economics and Statistics, MIT Press, vol. 81(4), pages 617-631, November. [Downloadable!] (restricted)
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  4. Yacine Ait-Sahalia & Per A. Mykland, 2003. "How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise," NBER Working Papers 9611, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  5. Ole E. Barndorff-Nielsen & Neil Shephard, 2001. "Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics," Journal Of The Royal Statistical Society Series B, Royal Statistical Society, vol. 63(2), pages 167-241. [Downloadable!] (restricted)
  6. Hull, John C & White, Alan D, 1987. " The Pricing of Options on Assets with Stochastic Volatilities," Journal of Finance, American Finance Association, vol. 42(2), pages 281-300, June. [Downloadable!] (restricted)
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