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Lan Zhang
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A tale of two time scales: Determining integrated volatility with noisy high-frequency data
L Zhang, PA Mykland, Y Aït-Sahalia
Journal of the American Statistical Association 100 (472), 1394-1411, 2005
23082005
How often to sample a continuous-time process in the presence of market microstructure noise
Y Ait-Sahalia, PA Mykland, L Zhang
The review of financial studies 18 (2), 351-416, 2005
11672005
Delay or probability discounting in a model of impulsive behavior: effect of alcohol
JB Richards, L Zhang, SH Mitchell, H De Wit
Journal of the experimental analysis of behavior 71 (2), 121-143, 1999
9671999
Efficient estimation of stochastic volatility using noisy observations: A multi-scale approach
L Zhang
Bernoulli 12 (6), 1019-1043, 2006
7022006
Severe surface ozone pollution in China: a global perspective
X Lu, J Hong, L Zhang, OR Cooper, MG Schultz, X Xu, T Wang, M Gao, ...
Environmental Science & Technology Letters 5 (8), 487-494, 2018
6362018
Ultra high frequency volatility estimation with dependent microstructure noise
Y Aït-Sahalia, PA Mykland, L Zhang
Journal of Econometrics 160 (1), 160-175, 2011
546*2011
Ultra high frequency volatility estimation with dependent microstructure noise
Y Aït-Sahalia, PA Mykland, L Zhang
Journal of Econometrics 160 (1), 160-175, 2011
4752011
Ultra high frequency volatility estimation with dependent microstructure noise
Y Aït-Sahalia, PA Mykland, L Zhang
Journal of Econometrics 160 (1), 160-175, 2011
4752011
Estimating covariation: Epps effect, microstructure noise
L Zhang
Journal of Econometrics 160 (1), 33-47, 2011
4662011
ANOVA for diffusions and Ito processes
PA Mykland, L Zhang
2632006
Trends in the vertical distribution of ozone: A comparison of two analyses of ozonesonde data
JA Logan, IA Megretskaia, AJ Miller, GC Tiao, D Choi, L Zhang, ...
Journal of Geophysical Research: Atmospheres 104 (D21), 26373-26399, 1999
2381999
Inference for continuous semimartingales observed at high frequency
PA Mykland, L Zhang
Econometrica 77 (5), 1403-1445, 2009
2312009
The econometrics of high frequency data
PA Mykland, L Zhang
Statistical methods for stochastic differential equations 124, 109, 2012
1152012
The econometrics of high frequency data
PA Mykland, L Zhang
Statistical methods for stochastic differential equations 124, 109, 2012
1152012
Realized volatility when sampling times are possibly endogenous
Y Li, PA Mykland, E Renault, L Zhang, X Zheng
Econometric theory 30 (3), 580-605, 2014
1032014
Edgeworth expansions for realized volatility and related estimators
L Zhang, PA Mykland, Y Aït-Sahalia
Journal of Econometrics 160 (1), 190-203, 2011
872011
Edgeworth expansions for realized volatility and related estimators
L Zhang, PA Mykland, Y Aït-Sahalia
Journal of Econometrics 160 (1), 190-203, 2011
852011
Edgeworth expansions for realized volatility and related estimators
L Zhang, PA Mykland, Y Aït-Sahalia
Journal of Econometrics 160 (1), 190-203, 2011
852011
Inference for volatility-type objects and implications for hedging
PA Mykland, L Zhang
Statistics and its Interface 1 (2), 255-278, 2008
702008
From martingales to ANOVA: Implied and realized volatility
L Zhang
(No Title), 2001
572001
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