Concepedia
Journal of Econometrics · 2014 · 65 citations · 46 references
High-frequency DataBusinessEconometricsEconometric MethodStatisticsTime Series EconometricsHigh-frequency Financial Econometrics
46
Jackknife, Bootstrap and Other Resampling Methods in Regression Analysis
C. F. Jeff Wu · The Annals of Statistics · 1986 · 1.7K citations
Bootstrap Resampling, Engineering, Data Science +10
A general version of the fundamental theorem of asset pricing
Freddy Delbaen, Walter Schachermayer · Mathematische Annalen · 1994 · 1.5K citations
Option Pricing, Economics, Financial Economics +6
A Tale of Two Time Scales
Lan Zhang, Per A. Mykland, Yacine Aı̈t-Sahalia · Journal of the American Statistical Association · 2005 · 1.3K citations
Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
Ole E. Barndorff–Nielsen, Peter Reinhard Hansen, Asger Lunde et al. · Econometrica · 2008 · 1.3K citations
Jumps in Financial Markets: A New Nonparametric Test and Jump Dynamics
Suzanne S. Lee, Per A. Mykland · Review of Financial Studies · 2007 · 892 citations