| A tale of two time scales: Determining integrated volatility with noisy high-frequency data L Zhang, PA Mykland, Y Aït-Sahalia Journal of the American Statistical Association 100 (472), 1394-1411, 2005 | 2314 | 2005 |
| How often to sample a continuous-time process in the presence of market microstructure noise Y Ait-Sahalia, PA Mykland, L Zhang The review of financial studies 18 (2), 351-416, 2005 | 1174 | 2005 |
| Delay or probability discounting in a model of impulsive behavior: effect of alcohol JB Richards, L Zhang, SH Mitchell, H De Wit Journal of the experimental analysis of behavior 71 (2), 121-143, 1999 | 967 | 1999 |
| Efficient estimation of stochastic volatility using noisy observations: A multi-scale approach L Zhang Bernoulli 12 (6), 1019-1043, 2006 | 702 | 2006 |
| Ultra high frequency volatility estimation with dependent microstructure noise Y Aït-Sahalia, PA Mykland, L Zhang Journal of Econometrics 160 (1), 160-175, 2011 | 549* | 2011 |
| Ultra high frequency volatility estimation with dependent microstructure noise Y Aït-Sahalia, PA Mykland, L Zhang Journal of Econometrics 160 (1), 160-175, 2011 | 478 | 2011 |
| Ultra high frequency volatility estimation with dependent microstructure noise Y Aït-Sahalia, PA Mykland, L Zhang Journal of Econometrics 160 (1), 160-175, 2011 | 478 | 2011 |
| Estimating covariation: Epps effect, microstructure noise L Zhang Journal of Econometrics 160 (1), 33-47, 2011 | 468 | 2011 |
| ANOVA for diffusions and Ito processes PA Mykland, L Zhang | 263 | 2006 |
| Trends in the vertical distribution of ozone: A comparison of two analyses of ozonesonde data JA Logan, IA Megretskaia, AJ Miller, GC Tiao, D Choi, L Zhang, ... Journal of Geophysical Research: Atmospheres 104 (D21), 26373-26399, 1999 | 238 | 1999 |
| Inference for continuous semimartingales observed at high frequency PA Mykland, L Zhang Econometrica 77 (5), 1403-1445, 2009 | 233 | 2009 |
| The econometrics of high frequency data PA Mykland, L Zhang Statistical methods for stochastic differential equations 124, 109, 2012 | 115 | 2012 |
| The econometrics of high frequency data PA Mykland, L Zhang Statistical methods for stochastic differential equations 124, 109, 2012 | 115 | 2012 |
| Realized volatility when sampling times are possibly endogenous Y Li, PA Mykland, E Renault, L Zhang, X Zheng Econometric theory 30 (3), 580-605, 2014 | 104 | 2014 |
| Edgeworth expansions for realized volatility and related estimators L Zhang, PA Mykland, Y Aït-Sahalia Journal of Econometrics 160 (1), 190-203, 2011 | 87 | 2011 |
| Edgeworth expansions for realized volatility and related estimators L Zhang, PA Mykland, Y Aït-Sahalia Journal of Econometrics 160 (1), 190-203, 2011 | 85 | 2011 |
| Edgeworth expansions for realized volatility and related estimators L Zhang, PA Mykland, Y Aït-Sahalia Journal of Econometrics 160 (1), 190-203, 2011 | 85 | 2011 |
| Inference for volatility-type objects and implications for hedging PA Mykland, L Zhang Statistics and its Interface 1 (2), 255-278, 2008 | 70 | 2008 |
| From martingales to ANOVA: Implied and realized volatility L Zhang (No Title), 2001 | 57 | 2001 |
| Y. Aït-Sahalia (2005),“A tale of two time scales: Determining integrated volatility with noisy high-frequency data” L Zhang, PA Mykland Journal of the American Statistical Association 100 (472), 1394-1411, 0 | 50 | |
Per MyklandRobert M. Hutchins Professor of Statistics and Finance, The University of ChicagoПотвърден имейл адрес: pascal.uchicago.edu
