Publications and Working Papers




A. Published/Forthcoming
  1. Estimating Covariation: Epps Effect, Microstructure Noise. Zhang, L. Journal of Econometrics, forthcoming.

  2. Edgeworth expansions for realized volatility and related estimators. Zhang, L., Mykland, P.A., and Ait-Sahalia, Y. Journal of Econometrics, forthcoming.

  3. The econometrics of high frequency data. Mykland, P.A. and Zhang, L. Statistical Methods for Stochastic Differential Equations, M. Kessler, A. Lindner, and M. Sorensen, eds. Chapman & Hall/CRC Press, forthcoming.

  4. Ultra high frequency volatility estimation with dependent microstructure noise. Ait-Sahalia, Y., Mykland, P.A. and Zhang, L. Journal of Econometrics, forthcoming.

  5. Inference for Continuous Semimartingales Observed at High Frequency: A General Approach. Mykland, P.A. and Zhang, L. Econometrica , 77 (5), 1403-1445, 2009.

  6. Inference for Volatility-Type Objects and Implications for Hedging. Mykland, P.A. and Zhang, L., Statistics and Its Interface , 1, 255-278, 2008.

  7. Efficient Estimation of Stochastic Volatility Using Noisy Observations: A Multi-Scale Approach. Zhang, L., Bernoulli, 12 (6), 1019-1043, 2006.

  8. ANOVA for diffusions and Ito processes. Mykland, P.A. and Zhang, L., Annals of Statistics 34 (4), 1931-1963, 2006.

  9. Comment on "Realized Variance and Market Microstructure Noise". Ait-Sahalia, Y., Mykland, P.A. and Zhang, L., Journal of Business and Economic Statistics , 24 (2), 162-167, April 2006.

  10. A tale of two time scales: Determining integrated volatility with noisy high frequency data. Zhang, L., Mykland, P.A. and Ait-Sahalia, Y., Journal of The American Statistical Association , 100 (472), 1394-1411, December 2005.

  11. Comment: A selective overview of nonparametric methods in financial econometrics. Mykland, P.A. and Zhang, L., Statistical Science , 20 (4), 347-350, December 2005.

  12. How often to sample a continuous-time process in the presence of market microstructure noise. Ait-Sahalia, Y., Mykland, P.A. and Zhang, L. Review of Financial Studies , 18, 351-416, April 2005.

  13. Trends in the vertical distribution of ozone: A comparison of two analyses of ozonesonde data. Logan JA, Megretskaia IA, Miller AJ, Tiao GC, Choi D, Zhang L, Stolarski RS, Labow GJ, Hollandsworth SM, Bodeker GE, Claude H, De Muer D, Kerr JB, Tarasick DW, Oltmans SJ, Johnson B, Schmidlin F, Staehelin J, Viatte P, Uchino O, Journal of Geophysical Research - Atmospheres , 104 (D21), 26373-26399, Nov 1999.

  14. Update of Umkehr ozone profile data trend analysis through 1997. Reinsel GC, Tiao GC, Miller AJ, Nagatani RM, Wuebbles DJ, Weatherhead EC, Cheang WK, Zhang L, Flynn LE, Kerr JB, Journal of Geophysical Research - Atmospheres , 104 (D19), 23881-23898, Oct 1999.

  15. Delay or probability discounting in a model of impulsive behavior: Effect of alcohol. Richards J, Zhang L, Mitchell S, and de Wit H, Journal of the Experimental Analysis of Behavior , 71, 121-143, 1999.

  16. Ability and development of facial expression recognition in infancy. Wang L, Zhang L, Li L, Beijing Psychological Bulletin , 2 (2), 169-175, 1994.
B. Submitted Manuscripts/Working Papers
  1. Implied and realized volatility: Empirical model selection. Zhang, L. (2009). Forthcoming in Annals of Finance

  2. Forecasting return volatility in the presence of microstructure noise. Kang, Z.X., Zhang, L., and Chen, R. (2008). Forthcoming in Statistics and Its Interface

  3. Realized volatility when sampling times can be endogenous. Li,Y., Mykland,P., Renault,E., Zhang,L. and Zheng,X. (2009)

  4. What you don't know cannot hurt you: On the detection of small jumps. Zhang, L. (2007).