Per Mykland
Per Mykland
Robert M. Hutchins Professor of Statistics and Finance, The University of Chicago
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Cited by
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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
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
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
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
Ultra high frequency volatility estimation with dependent microstructure noise
Y At-Sahalia, PA Mykland, L Zhang
Journal of Econometrics 160 (1), 160-175, 2011
Regeneration in Markov chain samplers
P Mykland, L Tierney, B Yu
Journal of the American Statistical Association 90 (429), 233-241, 1995
ANOVA for diffusions and Ito processes
PA Mykland, L Zhang
The Annals of Statistics 34 (4), 1931-1963, 2006
Inference for continuous semimartingales observed at high frequency
PA Mykland, L Zhang
Econometrica 77 (5), 1403-1445, 2009
Looking at Markov samplers through cusum path plots: a simple diagnostic idea
B Yu, P Mykland
Statistics and Computing 8 (3), 275-286, 1998
The effects of random and discrete sampling when estimating continuous–time diffusions
Y At–Sahalia, PA Mykland
Econometrica 71 (2), 483-549, 2003
Nonlinear experiments: Optimal design and inference based on likelihood
P Chaudhuri, PA Mykland
Journal of the American Statistical Association 88 (422), 538-546, 1993
Evaluating hedging errors: an asymptotic approach
T Hayashi, PA Mykland
Mathematical Finance: An International Journal of Mathematics, Statistics…, 2005
The econometrics of high frequency data
PA Mykland, L Zhang
Statistical methods for stochastic differential equations 124, 109, 2012
The estimation of leverage effect with high-frequency data
CD Wang, PA Mykland
Journal of the American Statistical Association 109 (505), 197-215, 2014
Are volatility estimators robust with respect to modeling assumptions?
Y Li, PA Mykland
Bernoulli 13 (3), 601-622, 2007
Dual likelihood
PA Mykland
The Annals of Statistics, 396-421, 1995
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
Jumps in equilibrium prices and market microstructure noise
SS Lee, PA Mykland
Journal of Econometrics 168 (2), 396-406, 2012
Edgeworth expansions for realized volatility and related estimators
L Zhang, PA Mykland, Y At-Sahalia
Journal of Econometrics 160 (1), 190-203, 2011
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
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