A Tale of Two Time Scales: Determining Integrated Volatility With Noisy High-Frequency Data

Lan Zhang, Per A. Mykland and Yacine Ait-Sahalia

Journal of the American Statistical Association, 2005, vol. 100, 1394-1411

Date: 2005
References: Add references at CitEc
Citations: View citations in EconPapers (802)

Downloads: (external link)
http://www.ingentaconnect.com/content/asa/jasa/2005/00000100/00000472/art00029 full text (application/pdf)
Access to full text is restricted to subscribers.

Related works:
Working Paper: A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data (2003)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bes:jnlasa:v:100:y:2005:p:1394-1411

Ordering information: This journal article can be ordered from
http://www.amstat.org/publications/index.html

Access Statistics for this article

Journal of the American Statistical Association is currently edited by Leonard A. Stefanski

More articles in Journal of the American Statistical Association from American Statistical Association
Bibliographic data for series maintained by Christopher F. Baum ().