The following pages link to Per Aslak Mykland (Q216426):
Displaying 40 items.
- An analysis of Hansen-Scheinkman moment estimators for discretely and randomly sampled diffusions (Q292134) (← links)
- (Q308365) (redirect page) (← links)
- Between data cleaning and inference: pre-averaging and robust estimators of the efficient price (Q308366) (← links)
- ANOVA for diffusions and Itō processes (Q449957) (← links)
- A Gaussian calculus for inference from high frequency data (Q470517) (← links)
- Estimation of integrated quadratic covariation with endogenous sampling times (Q506040) (← links)
- Jumps in equilibrium prices and market microstructure noise (Q527958) (← links)
- Inference for volatility-type objects and implications for hedging (Q660057) (← links)
- Asymptotic expansions for martingales (Q686763) (← links)
- Ultra high frequency volatility estimation with dependent microstructure noise (Q737274) (← links)
- Edgeworth expansions for realized volatility and related estimators (Q737276) (← links)
- On the jump activity index for semimartingales (Q738115) (← links)
- Asymptotic expansions and bootstrapping distributions for dependent variables: A martingale approach (Q1194531) (← links)
- Bartlett type identities for martingales (Q1327830) (← links)
- Algorithms for computing self-consistent and maximum likelihood estimators with doubly censored data (Q1354409) (← links)
- The interpolation of options (Q1424718) (← links)
- Financial options and statistical prediction intervals (Q1431433) (← links)
- Bartlett identities and large deviations in likelihood theory (Q1568313) (← links)
- The algebra of two scales estimation, and the S-TSRV: high frequency estimation that is robust to sampling times (Q1739634) (← links)
- Estimators of diffusions with randomly spaced discrete observations: a general theory (Q1766133) (← links)
- Conservative delta hedging. (Q1884835) (← links)
- Dual likelihood (Q1896261) (← links)
- Embedding and asymptotic expansions for martingales (Q1902865) (← links)
- Martingale expansions and second order inference (Q1906181) (← links)
- A CLT for second difference estimators with an application to volatility and intensity (Q2091830) (← links)
- Combining statistical intervals and market prices: the worst case state price distribution (Q2323381) (← links)
- Microstructure noise in the continuous case: approximate efficiency of the adaptive pre-averaging method (Q2347451) (← links)
- An asymptotic decomposition of hedging errors (Q2372599) (← links)
- Microstructure noise in the continuous case: the pre-averaging approach (Q2389230) (← links)
- Model-free approaches to discern non-stationary microstructure noise and time-varying liquidity in high-frequency data (Q2398977) (← links)
- Are volatility estimators robust with respect to modeling assumptions? (Q2469643) (← links)
- The observed asymptotic variance: hard edges, and a regression approach (Q2658793) (← links)
- Inference for Multi‐dimensional High‐frequency Data with an Application to Conditional Independence Testing (Q2835311) (← links)
- The Double Gaussian Approximation for High Frequency Data (Q2911663) (← links)
- Cumulants and Bartlett Identities in Cox Regression (Q2956048) (← links)
- REALIZED VOLATILITY WHEN SAMPLING TIMES ARE POSSIBLY ENDOGENOUS (Q3191831) (← links)
- EVALUATING HEDGING ERRORS: AN ASYMPTOTIC APPROACH (Q3370590) (← links)
- On Generating Monte Carlo Samples of Continuous Diffusion Bridges (Q5255312) (← links)
- The Effects of Random and Discrete Sampling when Estimating Continuous-Time Diffusions (Q5472962) (← links)
- Realized regression with asynchronous and noisy high frequency and high dimensional data (Q6150525) (← links)
