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
Yacine Aı̈t-Sahalia is a Finance scholar at Princeton University. Research spans Financial Markets and Investment Strategies, Financial Risk and Volatility Modeling, Stochastic processes and financial applications. 188 works, 20k citations (h-index 60).
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Affiliation on publications · Princeton University
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, Andrew W. Lo
The Journal of FinanceTop-listed