Jumps in Financial Markets: A New Nonparametric Test and Jump Dynamics von Lee, Suzanne S., Mykland, Per A.

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ASSESSMENT OF UNCERTAINTY IN HIGH FREQUENCY DATA: THE OBSERVED ASYMPTOTIC VARIANCE von Mykland, Per A., Zhang, Lan

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Microstructure noise in the continuous case: The pre-averaging approach von Jacod, Jean, Li, Yingying, Mykland, Per A., Podolskij, Mark, Vetter, Mathias

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How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise von Aït-Sahalia, Yacine, Mykland, Per A., Zhang, Lan

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Model-free approaches to discern non-stationary microstructure noise and time-varying liquidity in high-frequency data von Chen, Richard Y., Mykland, Per A.

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REALIZED VOLATILITY WHEN SAMPLING TIMES ARE POSSIBLY ENDOGENOUS von Li, Yingying, Mykland, Per A., Renault, Eric, Zhang, Lan, Zheng, Xinghua

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The Five Trolls Under the Bridge: Principal Component Analysis With Asynchronous and Noisy High Frequency Data von Chen, Dachuan, Mykland, Per A., Zhang, Lan

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Realized regression with asynchronous and noisy high frequency and high dimensional data von Chen, Dachuan, Mykland, Per A., Zhang, Lan

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Estimation of integrated quadratic covariation with endogenous sampling times von Potiron, Yoann, Mykland, Per A.

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The Observed Asymptotic Variance: Hard edges, and a regression approach von Mykland, Per A., Zhang, Lan

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The algebra of two scales estimation, and the S-TSRV: High frequency estimation that is robust to sampling times von Mykland, Per A., Zhang, Lan, Chen, Dachuan

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Ultra high frequency volatility estimation with dependent microstructure noise von Aït-Sahalia, Yacine, Mykland, Per A., Zhang, Lan

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A Tale of Two Time Scales: Determining Integrated Volatility With Noisy High-Frequency Data von Zhang, Lan, Mykland, Per A, Aït-Sahalia, Yacine

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Edgeworth expansions for realized volatility and related estimators von Zhang, Lan, Mykland, Per A., Aït-Sahalia, Yacine

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A CLT for second difference estimators with an application to volatility and intensity von Stoltenberg, Emil A., Mykland, Per A., Zhang, Lan

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Inference for Continuous Semimartingales Observed at High Frequency von Mykland, Per A., Zhang, Lan

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Estimation of Leverage Effect With High-Frequency Data von Wang, Christina D., Mykland, Per A.

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Between data cleaning and inference: Pre-averaging and robust estimators of the efficient price von Mykland, Per A., Zhang, Lan

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EVALUATING HEDGING ERRORS: AN ASYMPTOTIC APPROACH von Hayashi, Takaki, Mykland, Per A.

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Jumps in equilibrium prices and market microstructure noise von Lee, Suzanne S., Mykland, Per A.

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