P. Mykland

发表

Regeneration in Markov chain samplers

Bin Yu, L. Tierney, P. Mykland, 1995 .

Nonlinear Experiments: Optimal Design and Inference Based on Likelihood

P. Mykland, P. Chaudhuri, 1993 .

Option Pricing Bounds and Statistical Uncertainty: Using Econometrics to Find an Exit Strategy in Derivatives Trading

P. Mykland, 2010 .

Jumps in Financial Markets: A New Nonparametric Test and Jump Dynamics

P. Mykland, Suzanne S. Lee, 2008 .

Conservative delta hedging

P. Mykland, 2000 .

ANOVA for diffusions and Itô processes

P. Mykland, Lan Zhang, 2006, math/0611274.

Estimating Volatility in the Presence of Market Microstructure Noise: A Review of the Theory and Practical Considerations

Per A. Mykland, Yacine Aït-Sahalia, P. Mykland, 2009 .

Bartlett identities and large deviations in likelihood theory

Per A. Mykland, P. Mykland, 1999 .

Algorithms for computing self-consistent and maximum likelihood estimators with doubly censored data

P. Mykland, Jian-Jian Ren, 1996 .

Estimators of diffusions with randomly spaced discrete observations: A general theory

P. Mykland, Yacine Ait-Sahalia, 2004, math/0503679.

The Estimation of Leverage Effect With High-Frequency Data

P. Mykland, Christina Dan Wang, 2013 .

How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise

P. Mykland, Yacine Aït-Sahalia, Yacine Ait-Sahalia, 2003 .

Conservative Delta Hedging 1

P. Mykland, 2000 .

Microstructure Noise in the Continuous Case: The Pre-Averaging Approach - JLMPV-9

Jean Jacod, Yingying Li, Mark Podolskij, 2007 .

Assessment of Uncertainty in High Frequency Data: The Observed Asymptotic Variance

Lan Zhang, P. Mykland, Lan Zhang, 2016 .

Inference for Multi-Dimensional High-Frequency Data: Equivalence of Methods, Central Limit Theorems, and an Application to Conditional Independence Testing

Markus Bibinger, Per A. Mykland, P. Mykland, 2013, 1301.2074.

Efficient and Feasible Inference for the Components of Financial Variation Using Blocked Multipower Variation

Neil Shephard, Kevin Sheppard, N. Shephard, 2012 .

The Double Gaussian Approximation for High Frequency Data

Lan Zhang, Per A. Mykland, P. Mykland, 2011 .

Inference for Continuous Semimartingales Observed at High Frequency

Lan Zhang, Per A. Mykland, P. Mykland, 2009 .

Are Volatility Estimators Robust with Respect to Modeling Assumptions?

Yingying Li, P. Mykland, Yingying Li, 2007, 0709.0440.

The Five Trolls Under the Bridge: Principal Component Analysis With Asynchronous and Noisy High Frequency Data

Lan Zhang, P. Mykland, Lan Zhang, 2018, Journal of the American Statistical Association.

An analysis of Hansen-Scheinkman moment estimators for discretely and randomly sampled diffusions

Per A. Mykland, Yacine Aït-Sahalia, P. Mykland, 2008 .

Estimation of integrated quadratic covariation with endogenous sampling times

P. Mykland, Yoann Potiron, 2015, 1507.01033.

A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data

Lan Zhang, Per A. Mykland, Yacine Aït-Sahalia, 2003 .

Combining statistical intervals and market prices: The worst case state price distribution

P. Mykland, 2019, Journal of Econometrics.

An asymptotic decomposition of hedging errors

P. Mykland, Seongjoo Song, 2022 .

EVALUATING HEDGING ERRORS: AN ASYMPTOTIC APPROACH

P. Mykland, Takaki Hayashi, 2005 .

Estimators of diffusions with randomly spaced discrete observations: A general theory

P. Mykland, Yacine Ait-Sahalia, 2004, math/0503679.

ANOVA for diffusions and Itô processes

P. Mykland, Lan Zhang, 2006, math/0611274.

A Gaussian calculus for inference from high frequency data

P. Mykland, 2012 .

Martingale expansions and second order inference

P. Mykland, 1995 .

Cumulants and Bartlett Identities in Cox Regression

P. Mykland, Jianming Ye, 2016 .

Empirical likelihood in the presence of nuisance parameters

Nicole A. Lazar, Per A. Mykland, P. Mykland, 1999 .

How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise

Yacine Ait-Sahalia, Per A. Mykland, P. Mykland, 2003 .

Likelihood Computations without Bartlett Identities.

P. Mykland, 2001 .

Bartlett Type Identities for Martingales

Per A. Mykland, P. Mykland, 1994 .

On Generating Monte Carlo Samples of Continuous Diffusion Bridges

Rong Chen, Ming Lin, Per A. Mykland, 2010 .

IN-SAMPLE ASYMPTOTICS AND ACROSS-SAMPLE EFFICIENCY GAINS FOR HIGH FREQUENCY DATA STATISTICS

Eric Ghysels, Eric Renault, Per Mykland, 2021, Econometric Theory.

Looking at Markov samplers through cusum path plots: a simple diagnostic idea

Bin Yu, Per Mykland, Bin Yu, 1998, Stat. Comput..

Jumps in Real-Time Financial Markets: A New Nonparametric Test and Jump Dynamics

Per A. Mykland, P. Mykland, Suzanne S. Lee, 2006 .

The Econometrics of High Frequency Data

Lan Zhang, Per A. Mykland, P. Mykland, 2004 .

A Tale of Two Time Scales

Lan Zhang, Yacine Aït-Sahalia, Per A Mykland, 2003 .

Between Data Cleaning and Inference: Pre-Averaging and Robust Estimators of the Efficient Price

Lan Zhang, Per A. Mykland, P. Mykland, 2016 .

Jumps in Financial Markets: A New Nonparametric Test and Jump Clustering

Per A. Mykland, P. Mykland, Suzanne S. Lee, 2005 .

Inference for Continuous Semimartingales Observed at High Frequency: A General Approach

P. Mykland, Lan Zhang, 2007 .

The Estimation of Leverage Effect With High-Frequency Data

P. Mykland, Christina Dan Wang, 2014 .

Inference for volatility-type objects and implications for hedging

Lan Zhang, Per A. Mykland, P. Mykland, 2008 .

Realized regression with asynchronous and noisy high frequency and high dimensional data

P. Mykland, Lan Zhang, Dachuan Chen, 2023, Journal of Econometrics.

Rounding Errors and Volatility Estimation

P. Mykland, Yingying Li, 2015 .

Microstructure noise in the continuous case

P. Mykland, J. Jacod, M. Podolskij, 2008 .

Big data in dynamic predictive econometric modeling

F. Diebold, P. Mykland, Lan Zhang, 2019, Journal of Econometrics.

Inference for Continuous Semimartingales Observed at High Frequency

P. Mykland, Lan Zhang, 2009 .

Inference for Continuous Semimartingales Observed at High Frequency : A General Approach ∗

P. Mykland, Lan Zhang, 2008 .

ANOVA for diffusions

Per A. Mykland, P. Mykland, Lan Zhang, 2003 .

Edgeworth Expansions for Realized Volatility and Related Estimators

P. Mykland, Yacine Ait-Sahalia, Lan Zhang, 2005 .

Financial options and statistical prediction intervals

P. Mykland, 2003 .

Determining the Volatility of a Price Process in The Presence of Rounding Errors

P. Mykland, Yingying Li, 2006 .

Discussion of paper "A selective overview of nonparametric methods in financial econometrics" by Jianqing Fan

P. Mykland, Lan Zhang, 2005 .

EDGEWORTH EXPANSIONS FOR REALIZED VOLATILITY

P. Mykland, Yacine Aït-Sahalia, Lan Zhang, 2005 .

Comment: A Selective Overview of Nonparametric Methods in Financial Econometrics

P. Mykland, Lan Zhang, 2005 .

FINANCIAL OPTIONS AND STATISTICAL PREDICTION INTERVALS1 BY PER ASLAK MYKLAND

P. Mykland, 2003 .

The Econometrics of High Frequency Data

P. Mykland, Lan Zhang, 2012 .

A CLT for second difference estimators with an application to volatility and intensity

P. Mykland, Lan Zhang, E. A. Stoltenberg, 2020, The Annals of Statistics.

Estimating and Forecasting Volatility Using Leverage Effect

P. Mykland, Lan Zhang, Christina Dan Wang, 2017 .

Inference for Multi‐dimensional High‐frequency Data with an Application to Conditional Independence Testing

P. Mykland, M. Bibinger, 2016 .

Model-Free Approaches to Discern Non-Stationary Microstructure Noise and Time-Varying Liquidity in High-Frequency Data

Richard Y. Chen, Per A. Mykland, Richard Yongrui Chen, 2015, 1512.06159.

Microstructure noise in the continuous case: Approximate efficiency of the adaptive pre-averaging method

P. Mykland, J. Jacod, 2015 .

Estimation of integrated quadratic covariation between two assets with endogenous sampling times

P. Mykland, Yoann Potiron, 2015 .

REALIZED VOLATILITY WHEN SAMPLING TIMES ARE POSSIBLY ENDOGENOUS

P. Mykland, É. Renault, Lan Zhang, 2013, Econometric Theory.

Comment

P. Mykland, Yacine Aït-Sahalia, Lan Zhang, 2006 .

Realized Volatility When Sampling Times are Possibly Endogenous 3 1

P. Mykland, Lan Zhang, Yingying Li, 2013 .

Realized Volatility When Sampling Times can be Endogenous

P. Mykland, É. Renault, Lan Zhang, 2009 .

Author's Personal Copy Microstructure Noise in the Continuous Case: the Pre-averaging Approach Author's Personal Copy

P. Mykland, M. Podolskij, Jean Jacod, 2009 .

INFERENCE FOR CONTINUOUS SEMIMARTINGALES OBSERVED AT HIGH FREQUENCY

P. Mykland, Lan Zhang, 2007 .

Comment on “ Realized variance and market microstructure noise " by Peter Hansen and Asger Lunde ∗

P. Mykland, Yacine Aït-Sahalia, Lan Zhang, 2005 .

Five Trolls : PCA with High Frequency Data Supplement to “ The Five Trolls under the Bridge : Principal Component Analysis with Asynchronous and Noisy High Frequency Data ” by

P. Mykland, L. Zhang, D. Chen, 2019 .

Local Parametric Estimation in High Frequency Data

P. Mykland, Yoann Potiron, 2016, Journal of Business & Economic Statistics.

Edgeworth expansions in small noise asymptotics

P. Mykland, Yacine Aït-Sahalia, Lan Zhang, 2005 .

Likelihood Computations Without Bartlett Identities 6 . AUTHOR ( S )

P. Mykland, 2022 .

The Effects of Random and Discrete Sampling When Estimating Continuous-Time Diffusions

Yacine Ait-Sahalia, P. Mykland, Yacine Ait-Sahalia, 2002 .

Embedding and asymptotic expansions for martingales

P. Mykland, 1995 .

The Algebra of Two Scales Estimation, and the S-TSRV: High Frequency Estimation That Is Robust to Sampling Times

P. Mykland, Lan Zhang, Dachuan Chen, 2018, Journal of Econometrics.

A Gaussian calculus for inference from high frequency data

P. Mykland, 2010, Annals of Finance.

Journal of the American Statistical Association the Estimation of Leverage Effect with High-frequency Data the Estimation of Leverage Effect with High-frequency Data

P. Mykland, Christina Dan Wang, Per, 2022 .

Asymptotic Expansions and Bootstrapping Distributions for Dependent Variables: A Martingale Approach

Per A. Mykland, P. Mykland, 1992 .

Asymptotic Expansions for Martingales

P. Mykland, 1993 .

Volatility and intensity

P. Mykland, Lan Zhang, E. A. Stoltenberg, 2019, 1903.09873.