
- Microstructure Noise in the Continuous Case: The Pre-Averaging Approach -JLMPV-9
- Likelihood computations without Bartlett P E R A S L A K M Y K L AN D
- In-sample Asymptotics and Across-sample Efficiency Gains for High Frequency Data
- Stat 39000/FinMath 34500 Lecture 7 MARTINGALES: VARIANCE
- Finance Stochast. 7, 417432 (2003) c Springer-Verlag 2003
- The Double Gaussian Approximation for High Frequency Data PER A. MYKLAND
- Stat 39100/FinMath 34600 Lecture 3 MILD INCOMPLETENESS
- Stat 39000/FinMath 34500 Lecture 8 STOCHASTIC INTEGRALS
- Stat 39100/FinMath 34600 Lecture 1 t , . . . , S
- CURRICULUM VITAE PER ASLAK MYKLAND
- The Annals of Statistics 2003, Vol. 31, No. 5, 14131438
- Stat 39100/FinMath 34600 Winter 2007 Per A. Mykland Lecture 6 1 APPROXIMATE NORMALITY
- Stat 39100/FinMath 34600 Lecture 6 Uncertain Volatility and Interest
- The Econometrics of High Frequency Data Per A. Mykland and Lan Zhang
- An Analysis of Hansen-Scheinkman Moment Estimators for Discretely and Randomly Sampled Diffusions
- Stat 39000/FinMath 34500 Lecture 2 MULTIPERIOD MODELS: t = TIME = 0, 1, ..., T
- Stat 39100/FinMath 34600 Lecture 6 AMERICAN OPTIONS
- LECTURE 5: BID AND ASK HEDGING 1. Introduction
- Stat 39000/FinMath 34500 Lecture 7 MARTINGALES: VARIANCE
- Stat 39100/FinMath 34600 Lecture 9 STATIONARY AND NON-GAUSSIAN DISTRIBUTIONS
- Stat 39000/FinMath 34500 Lecture 11 MILD INCOMPLETENESS
- Inference for Continuous Semimartingales Observed at High Frequency: A General Approach
- The Annals of Statistics 1996, Vol. 24, No. 4, 1740 1764
- Stat 39100/FinMath 34600 Lecture 3 MILD INCOMPLETENESS
- Stat 39100/FinMath 34600 Lecture 7 MARTINGALES AND LOCAL MARTINGALES
- GETTING STARTED WITH S Open R, then...
- Stat 39100/FinMath 34600 Lecture 12 Uncertain Volatility and Interest
- Stat 39100/FinMath 34600 Lecture 5 AMERICAN OPTIONS
- NONPARAMETRIC REGRESSION AND KERNEL SMOOTHING IN S FOR ILLUSTRATION: EUROPEAN OPTION
- The University of Chicago Department of Statistics
- Statistics and Its Interface Volume 1 (2008) 255278 Inference for volatility-type objects and
- http://www.econometricsociety.org/ Econometrica, Vol. 77, No. 5 (September, 2009), 14031445
- Option Pricing Bounds and Statistical Uncertainty: Using Econometrics to Find an Exit Strategy in Derivatives Trading 1
- Ultra High Frequency Volatility Estimation with Dependent Microstructure Noise
- Edgeworth Expansions for Realized Volatility and Related University of Illinois at Chicago
- Noname manuscript No. (will be inserted by the editor)
- "Realized variance and market microstructure noise" by Peter Hansen and Asger Lunde
- The University of Chicago Department of Statistics
- Cumulants and Bartlett Identities in Cox Regression Per Aslak Mykland1
- Nonparametric and Dual Likelihood in Survival Analysis Per Aslak Mykland1
- Stat 39000/FinMath 34500 Lecture 2 MULTIPERIOD MODELS: t = TIME = 0, 1, ..., T
- Stat 39000/FinMath 34500 Lecture 5 AMERICAN OPTIONS
- Stat 39000/FinMath 34500 Lecture 8 STOCHASTIC INTEGRALS
- Stat 39000/FinMath 34500 Lecture 9 t , . . . , S
- Stat 39000/FinMath 34500 Lecture 10 HEDGING: THE EXACT CASE
- Stat 39100/FinMath 34600 Lecture 1 ONE PERIOD MODELS
- Stat 39100/FinMath 34600 Lecture 3 MARTINGALES BASED ON IID
- Stat 39100/FinMath 34600 Lecture 7 MARTINGALES: VARIANCE
- Stat 39100/FinMath 34600 Lecture 9 t , . . . , S
- Stat 39100/FinMath 34600 Lecture 10 HEDGING: THE EXACT CASE
- Stat 39000/FinMath 34500 Lecture 1 ONE PERIOD MODELS
- Stat 39000/FinMath 34500 Lecture 3 MARTINGALES BASED ON IID
- Stat 39000/FinMath 34500 Lecture 4 COMPUTATION
- Stat 39000/FinMath 34500 Lecture 5 AMERICAN OPTIONS
- Stat 39000/FinMath 34500 Lecture 9 t , . . . , S
- Stat 39000/FinMath 34500 Lecture 1 ONE PERIOD MODELS
- Stat 39000/FinMath 34500 Lecture 3 MARTINGALES BASED ON IID
- Stat 39000/FinMath 34500 Lecture 4 COMPUTATION
- Stat 39100/FinMath 34600 Lecture 2 HEDGING: THE EXACT CASE
- Stat 39100/FinMath 34600 Lecture 5 Uncertain Volatility and Interest
- Stat 39100/FinMath 34600 Lecture 8 CONTINUOUS TIME PRICING AND TRADING
- Stat 39000/FinMath 34500 Lecture 1 ONE PERIOD MODELS
- The Double Gaussian Approximation for High Frequency Data PER A. MYKLAND
- Realized Volatility When Sampling Times are Possibly Endogenous
- Stat 39000/FinMath 34500 Lecture 2 MULTIPERIOD MODELS: t = TIME = 0, 1, ..., T
- The Econometrics of High Frequency Data Per A. Mykland and Lan Zhang
- Stat 39000/FinMath 34500 Autumn 2005 Per A. Mykland Lecture 6 1 APPROXIMATE NORMALITY
- Submitted to the Annals of Statistics ANOVA FOR DIFFUSIONS AND ITO PROCESSES
- Combining Statistical Intervals and Market Prices: The Worst Case State Price Distribution 1 Per Aslak Mykland
- CURRICULUM VITAE PER ASLAK MYKLAND
- Bartlett Identities and Large Deviations in Likelihood Theory 1 By Per Aslak Mykland
- Stat 39000/FinMath 34500 Lecture 3 MARTINGALES BASED ON IID
- Bernoulli 13(3), 2007, 601622 DOI: 10.3150/07-BEJ6067
- Stat 39000/FinMath 34500 Lecture 9 IT^O PROCESSES
- Stat 39100/FinMath 34600 Lecture 1 HEDGING: THE EXACT CASE
- Stat 39100/FinMath 34600 Lecture 8 STOCHASTIC INTEGRALS
- Stat 39000/FinMath 34500 Autumn 2008 Per A. Mykland Lecture 6 1 APPROXIMATE NORMALITY
- Stat 39100/FinMath 34600 Lecture 4 COMPUTATION
- Stat 39000/FinMath 34500 Lecture 4 COMPUTATION
- Stat 39100/FinMath 34600 Lecture 2 MULTIPERIOD MODELS: t = TIME = 0, 1, ..., T
- CURRICULUM VITAE PER ASLAK MYKLAND