2003
A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data
Lan Zhang, Per A. Mykland, Yacine Aı̈t-Sahalia
National Bureau of Economic Research OA
1.4k
cites
Faculty
Per A. Mykland is a Finance scholar at University of Chicago. Research spans Financial Risk and Volatility Modeling, Stochastic processes and financial applications. 107 works, 8.9k citations (h-index 36).
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Affiliation on publications · University of Chicago
Lan Zhang, Per A. Mykland, Yacine Aı̈t-Sahalia
National Bureau of Economic Research OA
Lan Zhang, Per A. Mykland, Yacine Aı̈t-Sahalia
Journal of the American Statistical AssociationTop-listed
Yacine Aı̈t-Sahalia, Per A. Mykland, Lan Zhang
Review of Financial StudiesTop-listed