154 citations · 157 across the 3 of their papers we have counts for
3 papers
math.ST2019★ 2 cited
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…
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.ST2004★ 1 cited
Efficient Estimation of Stochastic Volatility Using Noisy Observations: A Multi-Scale Approach
Lan Zhang
With the availability of high frequency financial data, nonparametric estimation of volatility of an asset return process becomes feasible. A major problem is how to estimate the v…