From martingales to ANOVA : implied and realized volatility

By Lan Zhang. 2001

56 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/4a9f3f4689e28e8124566abdec8bb256e7426618

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Citations in the corpus

Inference for Continuous Semimartingales Observed at High Frequency: A General Approach (2007, unknown): “The presumed optimal convergence rate is n1/4, in analogy with the results in Zhang (2006). This makes sense because σ̂2 t is a noisy measurement of σ 2 t .”
Edgeworth Expansions for Realized Volatility and Related Estimators (2011, methodology): “6) except replacing nsparse with nsparse, where n ∗ sparse is determined by minimizing MSE of the estimator (an explicit formula for doing so in given in Zhang et al. (2005)).”
Estimating Covariation: Epps Effect, Microstructure Noise (2011, unknown): “…realized covariance, is a consistent estimator for X, Y T as the observation intervals get closer; furthermore its estimation error follows a mixed normal distribution, see, for example, Jacod and Protter (1998), Barndorff-Nielsen and Shephard (2002a), Zhang (2001), and Mykland and Zhang (2006).”
REALIZED VOLATILITY WHEN SAMPLING TIMES ARE POSSIBLY ENDOGENOUS (2013, background): “The overall result now follows from the limit results in either Theorem B.4 (pp. 65–67) of Zhang (2001), or Theorem 2.28 of Mykland and Zhang (2012).”
Efficient Estimation of Stochastic Volatility Using Noisy Observations: A Multi-Scale Approach (2004, unknown): “In Zhang, Mykland, and Aı̈t-Sahalia (2005), the best estimator converges to the true volatility only at the rate of n−1/6.”
Microstructure Noise in the Continuous Case: The Pre-Averaging Approach ∗ (2008, background): “The parameter values are chosen to be close to those used in Zhang et al. (2005). The actual values of n will vary from stock to stock and day to day.”