Inference for Continuous Semimartingales Observed at High Frequency: A General Approach

By Per Aslak Mykland, Lan Zhang. 2007

114 citations recorded by the source corpus.

Subfields: Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/8663522d610a9b7f1f440f326903bf01b37f18d2

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Finance

1. V. Todorov
2. Markus Bibinger
3. Asger Lunde
4. Jean Jacod
5. Yacine Aït-Sahalia
6. Tim Bollerslev
7. P. R. Hansen
8. George Tauchen

In Management Science and Operations Research

1. V. Todorov
2. George Tauchen
3. Markus Bibinger
4. Asger Lunde
5. P. R. Hansen
6. Suzanne S. Lee
7. Jia Li
8. Jean Jacod

Citations in the corpus

• Adaptive estimation of continuous-time regression models using high-frequency data (2017, methodology): “The first is an estimator based on the results in Jacod and Rosenbaum (2013) discussed above, see also Mykland and Zhang (2009).”
• Pre-Averaging Estimators of the Ex-Post Covariance Matrix in Noisy Diffusion Models with Non-Synchronous Data (2010, unknown): “This builds on previous work in the noiseless case, including Andersen, Bollerslev, Diebold, and Labys (2001), Barndorff-Nielsen and Shephard (2002), or Mykland and Zhang (2006, 2009).”
• Inference for volatility-type objects and implications for hedging (2008, background): “See also Section 2.2 of Mykland and Zhang (2007) for a recent summary of the usefulness of this mode of convergence in high frequency data situations.”
• Quarticity and other functionals of volatility: Efficient estimation (2012, methodology): “But so far nothing is known about the rate of convergence of these estimators when kn goes to infinity (the situation kn = k not depending on n is studied in [11] where the rate 1/ √ ∆n is obtained for power functions).”
• An estimator for the quadratic covariation of asynchronously observed Itô processes with noise: Asymptotic distribution theory (2011, background): “In the proofs of our limit theorems we will ‘remove’ the drifts in the sense that after a transformation to an equivalent martingale measure stable central limit theorems for Itô processes without drift are proved and, as illustrated in [21], stability of the weak convergence ensures that the asympt”
• The Realized Laplace Transform of Volatility (2011, unknown): “…RLT becomes evident in a situation where a long span of data is available and stationarity-type conditions are reasonable: standard assumptions for economic applications, for example, Hansen and Scheinkman (1995), Barndorff-Nielsen and Shephard (2002), and Andersen et al. (2003), among many others.”
• Jumps and Information Flow in Financial Markets (2012, methodology): “A similar technique is applied in Mykland and Zhang (2009) for estimating the volatility or leverage effect, which is the correlation between return and volatility processes in asset prices.”
• Forecasting Volatility Using High-Frequency Data (2011, background): “There exists an extensive statistical theory for this object that is derived in papers by Barndorff-Nielsen and Shephard (2002a), Meddahi (2002), Andersen, Bollerslev, Diebold and Labys (2003) and Mykland and Zhang (2009).”