A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data
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- Zhang, Lan & Mykland, Per A. & Ait-Sahalia, Yacine, 2005. "A Tale of Two Time Scales: Determining Integrated Volatility With Noisy High-Frequency Data," Journal of the American Statistical Association, American Statistical Association, vol. 100, pages 1394-1411, December.
References listed on IDEAS
- 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,
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- Gallant, A. Ronald & Hsu, Chien-Te & Tauchen, George, 2000. "Using Daily Range Data to Calibrate Volatility Diffusions and Extract the Forward Integrated Variance," Working Papers 00-04, Duke University, Department of Economics.
- Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys, 1999.
"The Distribution of Exchange Rate Volatility,"
Center for Financial Institutions Working Papers
99-08, Wharton School Center for Financial Institutions, University of Pennsylvania.
- 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-.
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- Yacine Aït-Sahalia, 2005.
"How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise,"
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- 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.
- 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.
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More about this item
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2003-11-30 (All new papers)
- NEP-ECM-2003-11-30 (Econometrics)
- NEP-ETS-2003-11-30 (Econometric Time Series)
- NEP-FIN-2003-11-30 (Finance)
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