154 citations · 212 across the 2 of their papers we have counts for
3 papers
q-fin.ST2007★ 58 cited
Are volatility estimators robust with respect to modeling assumptions?
Yingying Li, Per A. Mykland
We consider microstructure as an arbitrary contamination of the underlying latent securities price, through a Markov kernel . Special cases include additive error, rounding and…
math.ST2006★ 154 cited
ANOVA for diffusions and Itô processes
Per Aslak Mykland, Lan Zhang
Itô processes are the most common form of continuous semimartingales, and include diffusion processes. This paper is concerned with the nonparametric regression relationship betwee…
math.ST2005
Estimators of diffusions with randomly spaced discrete observations: A general theory
Yacine Ait-Sahalia, Per A. Mykland
We provide a general method to analyze the asymptotic properties of a variety of estimators of continuous time diffusion processes when the data are not only discretely sampled in…