154 citations · 328 across the 8 of their papers we have counts for
9 papers
Semiparametrics via parametrics and contiguity
Adam Lee, Emil A. Stoltenberg, Per A. Mykland
Inference on the parametric part of a semiparametric model is no trivial task. If one approximates the infinite dimensional part of the semiparametric model by a parametric functio…
A CLT for second difference estimators with an application to volatility and intensity
Emil A. Stoltenberg, Per A. Mykland, Lan Zhang
In this paper we introduce a general method for estimating the quadratic covariation of one or more spot parameters processes associated with continuous time semimartingales. This…
Local Parametric Estimation in High Frequency Data
Yoann Potiron, Per Mykland
In this paper, we give a general time-varying parameter model, where the multidimensional parameter possibly includes jumps. The quantity of interest is defined as the integrated v…
Model-Free Approaches to Discern Non-Stationary Microstructure Noise and Time-Varying Liquidity in High-Frequency Data
Richard Y. Chen, Per A. Mykland
In this paper, we provide non-parametric statistical tools to test stationarity of microstructure noise in general hidden Ito semimartingales, and discuss how to measure liquidity…
Estimation of integrated quadratic covariation with endogenous sampling times
Yoann Potiron, Per Mykland
When estimating high-frequency covariance (quadratic covariation) of two arbitrary assets observed asynchronously, simple assumptions, such as independence, are usually imposed on…
Inference for Multi-Dimensional High-Frequency Data: Equivalence of Methods, Central Limit Theorems, and an Application to Conditional Independence Testing
Markus Bibinger, Per A. Mykland
We find the asymptotic distribution of the multi-dimensional multi-scale and kernel estimators for high-frequency financial data with microstructure. Sampling times are allowed to…