How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise

By Yacine Aït-Sahalia, Per Aslak Mykland, Lan Zhang. 2005

918 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/47403f6d01ba942ce5ef830a3f8faa3f5c801d65

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Citations in the corpus

Do High-Frequency Measures of Volatility Improve Forecasts of Return Distributions? (2011, background): “Table 1 5For alternative approaches to dealing with market microstructure dynamics see Aı̈t-Sahalia, Mykland, and Zhang (2005), Bandi and Russell (2006), Barndorff-Nielsen, Hansen, Lunde, and Shephard (2008), Oomen (2005), Zhang (2006) and Zhou (1996). displays summary statistics for daily returns…”
High-Frequency Covariance Estimates With Noisy and Asynchronous Financial Data (2010, positive): “Aït-Sahalia, Mykland, and Zhang (2005) showed that this estimation approach is robust to departure from the Gaussian noise assumption.”
Measuring volatility with the realized range (2006, methodology): “We also refrain from determining the optimal sampling frequency as done for realized variance by Bandi and Russell (2004) and Aı̈t-Sahalia et al. (2005), simply reporting the relative performance of realized variance and realized range for different sampling frequencies.”
Scaling limits for Hawkes processes and application to financial statistics (2012, methodology): “…7641 and École Polytechnique, 91128 Palaiseau, France †Université Paris Diderot and LPMA CNRS-UMR 7599, Bôıte courrier 7012 75251 Paris, France ‡ENSAE-CREST and LAMA CNRS-UMR 8050, 3, avenue Pierre Larousse, 92245 Malakoff, France §SPE CNRS-UMR 6134 and Université de Corte, 20250 Corte, France”
A Discrete-Time Model for Daily S & P500 Returns and Realized Variations: Jumps and Leverage Effects (2009, neutral): “, Aı̈t-Sahalia et al. (2005a,b), Areal and Taylor (2002), Bandi and Russell (2005), Corsi et al.”
Safe Haven Currencies (2010, neutral): “We compared the Ait-Sahalia, Mykland, and Zhang (2005) method and the Andersen and Bollerslev (1998) method to compute realised volatility over a subsample period of year 2007.”
Options on realized variance by transform methods: a non-affine stochastic volatility model (2009, background): “( 2005 ) and references therein as well as the recent study by Gatheral and Oomen ( 2010 ).”
Semi-Parametric Comparison of Stochastic Volatility Models using Realized Measures (2006, background): “…subsampled realized volatility proposed by Zhang et al. (2005) is a consistent estimator of integrated volatility when prices are contaminated by microstructure noise (see also related contributions by Zhang, 2004; Aït-Sahalia et al., 2005b; Barndorff-Nielsen, Hansen, Lunde and Shephard, 2005b).”