154 citations · 328 across the 8 of their papers we have counts for
5 papers · 1 filter
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…
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…
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…
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…