Papers:
- Main Introduction: The Econometrics of High Frequency Data (2012) (With some corrected typos here)
- A tale of two time scales: Determining integrated volatility with noisy high-frequency data (2005)
- Efficient estimation of stochastic volatility using noisy observations: A multi-scale approach (2006)
- Estimating covariation: Epps effect, Microstructure noise (2011)
- Realized volatility when sampling times are possibly endogenous (2014)
- Inference for continuous semimartingales observed at high frequency (2009)
- Assessment of Uncertainty in High Frequency Data: The Observed Asymptotic Variance (2016)
- Between Data Cleaning and Inference: Pre-Averaging and Robust Estimators of the Efficient Price. (2016)
Exercises and Additional Material
- Please consult http://galton.uchicago.edu/~mykland/OsloJan2017/ for latest update
Computing
- R: Download the latest version of R: Windows or Mac
- After you have downloaded and installed R, install RStudio from this link
- You can read a full-length introduction to R at https://cran.r-project.org/doc/manuals/R-intro.html