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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
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…