Per Mykland
Per Mykland
Robert M. Hutchins Professor of Statistics and Finance, The University of Chicago
Verified email at pascal.uchicago.edu
Title
Cited by
Cited by
Year
A tale of two time scales: Determining integrated volatility with noisy high-frequency data
L Zhang, PA Mykland, Y At-Sahalia
Journal of the American Statistical Association 100 (472), 1394-1411, 2005
18612005
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
9802005
Jumps in financial markets: A new nonparametric test and jump dynamics
SS Lee, PA Mykland
The Review of Financial Studies 21 (6), 2535-2563, 2008
8192008
Microstructure noise in the continuous case: the pre-averaging approach
J Jacod, Y Li, PA Mykland, M Podolskij, M Vetter
Stochastic processes and their applications 119 (7), 2249-2276, 2009
5902009
Ultra high frequency volatility estimation with dependent microstructure noise
Y At-Sahalia, PA Mykland, L Zhang
Journal of Econometrics 160 (1), 160-175, 2011
409*2011
Regeneration in Markov chain samplers
P Mykland, L Tierney, B Yu
Journal of the American Statistical Association 90 (429), 233-241, 1995
2971995
ANOVA for diffusions and Ito processes
PA Mykland, L Zhang
The Annals of Statistics 34 (4), 1931-1963, 2006
2262006
Looking at Markov samplers through cusum path plots: a simple diagnostic idea
B Yu, P Mykland
Statistics and Computing 8 (3), 275-286, 1998
1861998
Inference for continuous semimartingales observed at high frequency
PA Mykland, L Zhang
Econometrica 77 (5), 1403-1445, 2009
1752009
The effects of random and discrete sampling when estimating continuous–time diffusions
Y At–Sahalia, PA Mykland
Econometrica 71 (2), 483-549, 2003
1622003
Nonlinear experiments: Optimal design and inference based on likelihood
P Chaudhuri, PA Mykland
Journal of the American Statistical Association 88 (422), 538-546, 1993
1201993
Evaluating hedging errors: an asymptotic approach
T Hayashi, PA Mykland
Mathematical Finance: An International Journal of Mathematics, Statistics…, 2005
1022005
Are volatility estimators robust with respect to modeling assumptions?
Y Li, PA Mykland
Bernoulli 13 (3), 601-622, 2007
902007
The econometrics of high frequency data
PA Mykland, L Zhang
Statistical methods for stochastic differential equations 124, 109, 2012
872012
Algorithms for computing self-consistent and maximum likelihood estimators with doubly censored data
PA Mykland, JJ Ren
The Annals of Statistics 24 (4), 1740-1764, 1996
851996
Dual likelihood
PA Mykland
The Annals of Statistics, 396-421, 1995
821995
Estimators of diffusions with randomly spaced discrete observations: a general theory
Y At-Sahalia, PA Mykland
The Annals of Statistics 32 (5), 2186-2222, 2004
782004
Edgeworth expansions for realized volatility and related estimators
L Zhang, PA Mykland, Y At-Sahalia
Journal of Econometrics 160 (1), 190-203, 2011
72*2011
The estimation of leverage effect with high-frequency data
CD Wang, PA Mykland
Journal of the American Statistical Association 109 (505), 197-215, 2014
682014
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
612014
The system can't perform the operation now. Try again later.
Articles 1–20