Concepedia

Lan Zhang

LZ

13

Publications

3.5K

Citations

12

H-Index

2005

Active since

Affiliations

University of Illinois Chicago(Current)

University of Chicago

Princeton University

Lan Zhang is an author at University of Illinois Chicago specializing in statistics, engineering, and estimation theory.

Top concepts

StatisticsEngineeringBusinessEstimation TheoryStatistical InferenceFinanceEconometricsData ScienceAsset PricingVolatility Modeling

Publications per year

2005–2023

13

Publications

13

A Tale of Two Time Scales

Lan Zhang, Per A. Mykland, Yacine Aı̈t-Sahalia · Journal of the American Statistical Association · 2005 · 1.3K citations

How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise

Yacine Aı̈t-Sahalia, Per A. Mykland, Lan Zhang · Review of Financial Studies · 2005 · 913 citations

High Frequency Estimates, Sampling (Signal Processing), Engineering +21

Efficient estimation of stochastic volatility using noisy observations: a multi-scale approach

Lan Zhang · Bernoulli · 2006 · 565 citations · Full text

Volatility Modeling, Parameter Estimation, Engineering +16

Estimating covariation: Epps effect, microstructure noise

Lan Zhang · Journal of Econometrics · 2010 · 309 citations

Engineering, Noise, Statistical Inference +5

ANOVA FOR DIFFUSIONS AND ITO PROCESSES1

Lan Zhang · 2008 · 111 citations

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