A Tale of Two Time Scales

1,273 citations recorded by the source corpus.

How researchers see this paper

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

Some Like it Smooth, and Some Like it Rough: Untangling Continuous and Jump Components in Measuring, Modeling, and Forecasting Asset Return Volatility (2003, neutral): “Instead, following AïtSahalia, Mykland and Zhang (2005), Bandi and Russell (2004b), Zhang, Mykland and Aït-Sahalia (2005), among others, assume that the observed price process is “contaminated” by a market microstructure noise component, say p(t)=p*(t)+<(t), where p*(t) refers to the true (latent) s”
Jumps in Financial Markets: A New Nonparametric Test and Jump Dynamics (2008, methodology): “Alternatively, for the nonzero drift case, we can use Girsanov’s theorem to suppose µ(t) = 0, as in Zhang et al. (2005b).”
Lassoing the HAR Model: A Model Selection Perspective on Realized Volatility Dynamics (2016, positive): “Typically this condition is called the irrepresentable condition as introduced in Zhao and Yu (2006). It has been already proved that using a version of the Lasso allowing for a more flexible penalization called the adaptive Lasso this assumption can be significantly relaxed; see, for example, Zou (”
Outlyingness weighted covariation (2011, positive): “We derive our results for μ(s) = 0 but by Girsanov’s theorem they also apply for the nonzero drift case, as in Zhang et al. (2005). In the proofs we exploit that for λ → 0 and λ/∆ → ∞ we can locally approximate the change in the log price process p(s+∆)−p(s) by Ω(lλ)u(s)√∆, i.”