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Lan Zhang · Study
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Author
Lan Zhang
11 works
· latest 2017
· 3 institutions
cluster: provisional
ORCID 0000-0002-6172-4497
Works
11 shown
Assessment of Uncertainty in High Frequency Data: The Observed Asymptotic Variance
Econometrica
·
2017
·
2 authors
·
Open access
42
citations
REALIZED VOLATILITY WHEN SAMPLING TIMES ARE POSSIBLY ENDOGENOUS
Econometric Theory
·
2013
·
5 authors
·
Open access
88
citations
The econometrics of high-frequency data
Monographs on statistics and applied probability
·
2012
·
2 authors
·
chapter
90
citations
Edgeworth expansions for realized volatility and related estimators
Journal of Econometrics
·
2010
·
3 authors
67
citations
ANOVA FOR DIFFUSIONS AND ITO PROCESSES1
·
2008
·
1 author
105
citations
Efficient estimation of stochastic volatility using noisy observations: a multi-scale approach
Bernoulli
·
2006
·
1 author
538
citations
How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise
Kluwer Academic Publishers eBooks
·
2006
·
3 authors
·
chapter
111
citations
Estimating Covariation: Epps Effect, Microstructure Noise
Journal of Econometrics
·
2006
·
1 author
·
Open access
326
citations
A Tale of Two Time Scales
Journal of the American Statistical Association
·
2005
·
3 authors
1,312
citations
How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise
Review of Financial Studies
·
2005
·
3 authors
876
citations
A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data
National Bureau of Economic Research
·
2003
·
3 authors
·
report
·
Open access
1,373
citations