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## Mykland, Per Aslak

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 Author ID: mykland.per-aslak Published as: Mykland, Per A.; Mykland, Per Aslak; Mykland, Per; Mykland, P. A.
 Documents Indexed: 55 Publications since 1992
all top 5

#### Co-Authors

 14 single-authored 16 Zhang, Lan 8 Aït-Sahalia, Yacine 3 Li, Yingying 2 Chaudhuri, Probal 2 Chen, Dachuan 2 Chen, Rong 2 Jacod, Jean 2 Lazar, Nicole A. 1 Bibinger, Markus 1 Chen, Richard Yuhua 1 Diebold, Francis X. 1 Ghysels, Eric 1 Hayashi, Takaki 1 Jing, Bingyi 1 Kong, Xinbing 1 Lee, Suzanne S. 1 Lin, Ming 1 Liu, Zhi 1 Meddahi, Nour 1 Podolskij, Mark 1 Potiron, Yoann 1 Ren, Jian-Jian 1 Renault, Eric 1 Shephard, Neil 1 Song, Seongjoo 1 Tierney, Luke 1 Vetter, Mathias 1 Wang, Christina Dan 1 Yao, Qiwei 1 Ye, Jianming 1 Yu, Bin 1 Zheng, Xinghua
all top 5

#### Serials

 14 Journal of Econometrics 9 The Annals of Statistics 6 Journal of the American Statistical Association 3 Econometrica 2 Scandinavian Journal of Statistics 2 Biometrika 2 Stochastic Processes and their Applications 2 Bernoulli 1 The Annals of Probability 1 Probability Theory and Related Fields 1 The Annals of Applied Probability 1 Statistica Sinica 1 Finance and Stochastics 1 Mathematical Finance 1 Econometric Theory 1 Journal of the Korean Statistical Society 1 Statistics and Its Interface 1 Annals of Finance

#### Fields

 53 Statistics (62-XX) 32 Probability theory and stochastic processes (60-XX) 15 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 3 General and overarching topics; collections (00-XX) 2 Numerical analysis (65-XX)

#### Citations contained in zbMATH Open

49 Publications have been cited 1,260 times in 708 Documents Cited by Year
A tale of two time scales: Determining integrated volatility with noisy high-frequency data. Zbl 1117.62461
Zhang, Lan; Mykland, Per A.; Aït-Sahalia, Yacine
2005
Microstructure noise in the continuous case: the pre-averaging approach. Zbl 1166.62078
Jacod, Jean; Li, Yingying; Mykland, Per A.; Podolskij, Mark; Vetter, Mathias
2009
Ultra high frequency volatility estimation with dependent microstructure noise. Zbl 1441.62577
Aït-Sahalia, Yacine; Mykland, Per A.; Zhang, Lan
2011
ANOVA for diffusions and Itō processes. Zbl 1246.91110
Mykland, Per Aslak; Zhang, Lan
2006
Inference for continuous semimartingales observed at high frequency. Zbl 1182.62216
Mykland, Per A.; Zhang, Lan
2009
Algorithms for computing self-consistent and maximum likelihood estimators with doubly censored data. Zbl 0867.62019
Mykland, Per A.; Ren, Jian-Jian
1996
The effects of random and discrete sampling when estimating continuous-time diffusions. Zbl 1142.60381
Aït-Sahalia, Yacine; Mykland, Per A.
2003
Evaluating hedging errors: an asymptotic approach. Zbl 1153.91505
Hayashi, Takaki; Mykland, Per A.
2005
Regeneration in Markov chain samplers. Zbl 0819.62082
Mykland, Per; Tierney, Luke; Yu, Bin
1995
Nonlinear experiments: Optimal design and inference based on likelihood. Zbl 0774.62079
Chaudhuri, Probal; Mykland, Per A.
1993
Estimators of diffusions with randomly spaced discrete observations: a general theory. Zbl 1062.62155
Aït-Sahalia, Yacine; Mykland, Per A.
2004
The econometrics of high-frequency data. Zbl 1375.62023
Mykland, Per A.; Zhang, Lan
2012
On the jump activity index for semimartingales. Zbl 1441.62754
Jing, Bing-Yi; Kong, Xin-Bing; Liu, Zhi; Mykland, Per
2012
Dual likelihood. Zbl 0877.62004
Mykland, Per Aslak
1995
How often to sample a continuous-time process in the presence of market microstructure noise. Zbl 1151.62365
Aït-Sahalia, Yacine; Mykland, Per A.; Zhang, Lan
2006
Edgeworth expansions for realized volatility and related estimators. Zbl 1441.62912
Zhang, Lan; Mykland, Per A.; Aït-Sahalia, Yacine
2011
Realized volatility when sampling times are possibly endogenous. Zbl 1296.91290
Li, Yingying; Mykland, Per A.; Renault, Eric; Zhang, Lan; Zheng, Xinghua
2014
Are volatility estimators robust with respect to modeling assumptions? Zbl 1129.62097
Li, Yingying; Mykland, Per A.
2007
Conservative delta hedging. Zbl 1065.91030
Mykland, Per Aslak
2000
Financial options and statistical prediction intervals. Zbl 1042.62094
Mykland, Per Aslak
2003
Jumps in equilibrium prices and market microstructure noise. Zbl 1443.62360
Lee, Suzanne S.; Mykland, Per A.
2012
Asymptotic expansions for martingales. Zbl 0776.60047
Mykland, Per Aslak
1993
Bartlett type identities for martingales. Zbl 0808.62030
Mykland, Per Aslak
1994
The estimation of leverage effect with high-frequency data. Zbl 1367.62286
Wang, Christina D.; Mykland, Per A.
2014
An evaluation of the power and conditionality properties of empirical likelihood. Zbl 0918.62042
Lazar, Nicole; Mykland, Per Aslak
1998
Inference for volatility-type objects and implications for hedging. Zbl 1230.91197
Mykland, Per A.; Zhang, Lan
2008
Asymptotic expansions and bootstrapping distributions for dependent variables: A martingale approach. Zbl 0759.62011
Mykland, Per Aslak
1992
Empirical likelihood in the presence of nuisance parameters. Zbl 0917.62029
Lazar, Nicole A.; Mykland, Per Aslak
1999
On generating Monte Carlo samples of continuous diffusion bridges. Zbl 1392.60068
Lin, Ming; Chen, Rong; Mykland, Per
2010
Martingale expansions and second order inference. Zbl 0839.62083
Mykland, Per Aslak
1995
Inference for multi-dimensional high-frequency data with an application to conditional independence testing. Zbl 1373.62511
Bibinger, Markus; Mykland, Per A.
2016
A Gaussian calculus for inference from high frequency data. Zbl 1298.91196
Mykland, Per A.
2012
On efficient designing of nonlinear experiments. Zbl 0828.62062
Chaudhuri, Probal; Mykland, Per A.
1995
The interpolation of options. Zbl 1035.60071
Mykland, Per Aslak
2003
Bartlett identities and large deviations in likelihood theory. Zbl 0951.62014
Mykland, Per Aslak
1999
Microstructure noise in the continuous case: approximate efficiency of the adaptive pre-averaging method. Zbl 1314.62095
Jacod, Jean; Mykland, Per A.
2015
Assessment of uncertainty in high frequency data: the observed asymptotic variance. Zbl 1410.62208
Mykland, Per A.; Zhang, Lan
2017
Between data cleaning and inference: pre-averaging and robust estimators of the efficient price. Zbl 1443.62366
Mykland, Per A.; Zhang, Lan
2016
Embedding and asymptotic expansions for martingales. Zbl 0843.60049
Mykland, P. A.
1995
Estimation of integrated quadratic covariation with endogenous sampling times. Zbl 1443.62369
Potiron, Yoann; Mykland, Per A.
2017
An analysis of Hansen-Scheinkman moment estimators for discretely and randomly sampled diffusions. Zbl 1418.62285
Aït-Sahalia, Yacine; Mykland, Per A.
2008
The double Gaussian approximation for high frequency data. Zbl 1246.62088
Mykland, Per A.; Zhang, Lan
2011
Estimating volatility in the presence of market microstructure noise: a review of the theory and practical considerations. Zbl 1179.62149
Aït-Sahalia, Yacine; Mykland, Per A.
2009
Likelihood computations without Bartlett identities. Zbl 0987.62017
Mykland, Per Aslak
2001
The algebra of two scales estimation, and the S-TSRV: high frequency estimation that is robust to sampling times. Zbl 1452.62782
Mykland, Per A.; Zhang, Lan; Chen, Dachuan
2019
Cumulants and Bartlett identities in Cox regression. Zbl 1357.62289
Mykland, Per Aslak; Ye, Jianming
2016
An asymptotic decomposition of hedging errors. Zbl 1115.91340
Song, Seongjoo; Mykland, Per A.
2006
Model-free approaches to discern non-stationary microstructure noise and time-varying liquidity in high-frequency data. Zbl 1388.62304
Chen, Richard Y.; Mykland, Per A.
2017
The five trolls under the bridge: principal component analysis with asynchronous and noisy high frequency data. Zbl 1453.62535
Chen, Dachuan; Mykland, Per A.; Zhang, Lan
2020
The five trolls under the bridge: principal component analysis with asynchronous and noisy high frequency data. Zbl 1453.62535
Chen, Dachuan; Mykland, Per A.; Zhang, Lan
2020
The algebra of two scales estimation, and the S-TSRV: high frequency estimation that is robust to sampling times. Zbl 1452.62782
Mykland, Per A.; Zhang, Lan; Chen, Dachuan
2019
Assessment of uncertainty in high frequency data: the observed asymptotic variance. Zbl 1410.62208
Mykland, Per A.; Zhang, Lan
2017
Estimation of integrated quadratic covariation with endogenous sampling times. Zbl 1443.62369
Potiron, Yoann; Mykland, Per A.
2017
Model-free approaches to discern non-stationary microstructure noise and time-varying liquidity in high-frequency data. Zbl 1388.62304
Chen, Richard Y.; Mykland, Per A.
2017
Inference for multi-dimensional high-frequency data with an application to conditional independence testing. Zbl 1373.62511
Bibinger, Markus; Mykland, Per A.
2016
Between data cleaning and inference: pre-averaging and robust estimators of the efficient price. Zbl 1443.62366
Mykland, Per A.; Zhang, Lan
2016
Cumulants and Bartlett identities in Cox regression. Zbl 1357.62289
Mykland, Per Aslak; Ye, Jianming
2016
Microstructure noise in the continuous case: approximate efficiency of the adaptive pre-averaging method. Zbl 1314.62095
Jacod, Jean; Mykland, Per A.
2015
Realized volatility when sampling times are possibly endogenous. Zbl 1296.91290
Li, Yingying; Mykland, Per A.; Renault, Eric; Zhang, Lan; Zheng, Xinghua
2014
The estimation of leverage effect with high-frequency data. Zbl 1367.62286
Wang, Christina D.; Mykland, Per A.
2014
The econometrics of high-frequency data. Zbl 1375.62023
Mykland, Per A.; Zhang, Lan
2012
On the jump activity index for semimartingales. Zbl 1441.62754
Jing, Bing-Yi; Kong, Xin-Bing; Liu, Zhi; Mykland, Per
2012
Jumps in equilibrium prices and market microstructure noise. Zbl 1443.62360
Lee, Suzanne S.; Mykland, Per A.
2012
A Gaussian calculus for inference from high frequency data. Zbl 1298.91196
Mykland, Per A.
2012
Ultra high frequency volatility estimation with dependent microstructure noise. Zbl 1441.62577
Aït-Sahalia, Yacine; Mykland, Per A.; Zhang, Lan
2011
Edgeworth expansions for realized volatility and related estimators. Zbl 1441.62912
Zhang, Lan; Mykland, Per A.; Aït-Sahalia, Yacine
2011
The double Gaussian approximation for high frequency data. Zbl 1246.62088
Mykland, Per A.; Zhang, Lan
2011
On generating Monte Carlo samples of continuous diffusion bridges. Zbl 1392.60068
Lin, Ming; Chen, Rong; Mykland, Per
2010
Microstructure noise in the continuous case: the pre-averaging approach. Zbl 1166.62078
Jacod, Jean; Li, Yingying; Mykland, Per A.; Podolskij, Mark; Vetter, Mathias
2009
Inference for continuous semimartingales observed at high frequency. Zbl 1182.62216
Mykland, Per A.; Zhang, Lan
2009
Estimating volatility in the presence of market microstructure noise: a review of the theory and practical considerations. Zbl 1179.62149
Aït-Sahalia, Yacine; Mykland, Per A.
2009
Inference for volatility-type objects and implications for hedging. Zbl 1230.91197
Mykland, Per A.; Zhang, Lan
2008
An analysis of Hansen-Scheinkman moment estimators for discretely and randomly sampled diffusions. Zbl 1418.62285
Aït-Sahalia, Yacine; Mykland, Per A.
2008
Are volatility estimators robust with respect to modeling assumptions? Zbl 1129.62097
Li, Yingying; Mykland, Per A.
2007
ANOVA for diffusions and Itō processes. Zbl 1246.91110
Mykland, Per Aslak; Zhang, Lan
2006
How often to sample a continuous-time process in the presence of market microstructure noise. Zbl 1151.62365
Aït-Sahalia, Yacine; Mykland, Per A.; Zhang, Lan
2006
An asymptotic decomposition of hedging errors. Zbl 1115.91340
Song, Seongjoo; Mykland, Per A.
2006
A tale of two time scales: Determining integrated volatility with noisy high-frequency data. Zbl 1117.62461
Zhang, Lan; Mykland, Per A.; Aït-Sahalia, Yacine
2005
Evaluating hedging errors: an asymptotic approach. Zbl 1153.91505
Hayashi, Takaki; Mykland, Per A.
2005
Estimators of diffusions with randomly spaced discrete observations: a general theory. Zbl 1062.62155
Aït-Sahalia, Yacine; Mykland, Per A.
2004
The effects of random and discrete sampling when estimating continuous-time diffusions. Zbl 1142.60381
Aït-Sahalia, Yacine; Mykland, Per A.
2003
Financial options and statistical prediction intervals. Zbl 1042.62094
Mykland, Per Aslak
2003
The interpolation of options. Zbl 1035.60071
Mykland, Per Aslak
2003
Likelihood computations without Bartlett identities. Zbl 0987.62017
Mykland, Per Aslak
2001
Conservative delta hedging. Zbl 1065.91030
Mykland, Per Aslak
2000
Empirical likelihood in the presence of nuisance parameters. Zbl 0917.62029
Lazar, Nicole A.; Mykland, Per Aslak
1999
Bartlett identities and large deviations in likelihood theory. Zbl 0951.62014
Mykland, Per Aslak
1999
An evaluation of the power and conditionality properties of empirical likelihood. Zbl 0918.62042
Lazar, Nicole; Mykland, Per Aslak
1998
Algorithms for computing self-consistent and maximum likelihood estimators with doubly censored data. Zbl 0867.62019
Mykland, Per A.; Ren, Jian-Jian
1996
Regeneration in Markov chain samplers. Zbl 0819.62082
Mykland, Per; Tierney, Luke; Yu, Bin
1995
Dual likelihood. Zbl 0877.62004
Mykland, Per Aslak
1995
Martingale expansions and second order inference. Zbl 0839.62083
Mykland, Per Aslak
1995
On efficient designing of nonlinear experiments. Zbl 0828.62062
Chaudhuri, Probal; Mykland, Per A.
1995
Embedding and asymptotic expansions for martingales. Zbl 0843.60049
Mykland, P. A.
1995
Bartlett type identities for martingales. Zbl 0808.62030
Mykland, Per Aslak
1994
Nonlinear experiments: Optimal design and inference based on likelihood. Zbl 0774.62079
Chaudhuri, Probal; Mykland, Per A.
1993
Asymptotic expansions for martingales. Zbl 0776.60047
Mykland, Per Aslak
1993
Asymptotic expansions and bootstrapping distributions for dependent variables: A martingale approach. Zbl 0759.62011
Mykland, Per Aslak
1992
all top 5

#### Cited by 881 Authors

 26 Mykland, Per Aslak 17 Shen, Pao-Sheng 17 Todorov, Viktor 15 Aït-Sahalia, Yacine 15 Liu, Zhi 14 Vetter, Mathias 13 Jacod, Jean 13 Podolskij, Mark 12 Bibinger, Markus 12 Kong, Xinbing 12 Vexler, Albert 12 Zhang, Lan 11 Tauchen, George E. 10 Kim, Donggyu 10 Rosenbaum, Mathieu 9 Fukasawa, Masaaki 9 Li, Yingying 9 Lunde, Asger 9 Ren, Jian-Jian 9 Wang, Yazhen 9 Xiu, Dacheng 9 Yoshida, Nakahiro 8 Andersen, Torben G. 8 Christensen, Kim 8 Fan, Jianqing 8 Jing, Bingyi 8 Mancino, Maria Elvira 7 Bollerslev, Tim 7 Figueroa-López, José E. 7 Hansen, Peter Reinhard 7 Meddahi, Nour 7 Obloj, Jan K. 7 Zheng, Xinghua 6 Corsi, Fulvio 6 Hounyo, Ulrich 6 Koike, Yuta 6 Oomen, Roel C. A. 6 Shephard, Neil 6 Wang, Dehui 6 Zhao, Zhibiao 5 Bandi, Federico M. 5 Barndorff-Nielsen, Ole Eiler 5 Flegal, James M. 5 Jones, Galin L. 5 Li, Cuixia 5 Phillips, Peter Charles Bonest 5 Potiron, Yoann 5 Sanfelici, Simona 5 Shin, Dongwan 5 Tankov, Peter 5 Zeng, Yong 4 Clinet, Simon 4 Ghysels, Eric 4 Gobet, Emmanuel 4 Gonçalves, Sílvia 4 Hayashi, Takaki 4 Hoffmann, Marc R. 4 Hou, Zhaoxu 4 Hutson, Alan David 4 Lazar, Nicole A. 4 Linton, Oliver Bruce 4 Liu, Guangying 4 Medeiros, Marcelo C. 4 Patton, Andrew J. 4 Reiß, Markus 4 Renault, Eric 4 Renò, Roberto 4 Veraart, Almut E. D. 4 Wiens, Douglas P. 4 Yu, Jihnhee 4 Yu, Jun 3 Athreya, Krishna Balasundaram 3 Azencott, Robert 3 Chen, Dachuan 3 Corradi, Valentina 3 Distaso, Walter 3 Dobrev, Dobrislav 3 Gurevich, Gregory 3 Hwang, Eunju 3 Kalnina, Ilze 3 Lee, Kiseop 3 Li, Jia 3 Lin, Liang-Ching 3 Mancini, Cecilia 3 Mangalam, Vasudevan 3 McAleer, Michael 3 Mies, Fabian 3 Muhle-Karbe, Johannes 3 Nadarajah, Saralees 3 Nakakita, Shogo H. 3 Pavliotis, Grigorios A. 3 Pronzato, Luc 3 Roy, Vivekananda 3 Russell, Jeffrey R. 3 Schmidt-Hieber, Johannes 3 Sinha, Sanjoy Kumar 3 Spiliopoulos, Konstantinos V. 3 Sugimoto, Tomoyuki 3 Timofeyev, Ilya 3 Trabs, Mathias ...and 781 more Authors
all top 5

#### Cited in 125 Serials

 135 Journal of Econometrics 38 The Annals of Statistics 33 Stochastic Processes and their Applications 31 Quantitative Finance 24 Econometric Theory 23 Journal of Statistical Planning and Inference 20 Computational Statistics and Data Analysis 20 Bernoulli 20 Finance and Stochastics 16 Electronic Journal of Statistics 15 Statistical Inference for Stochastic Processes 14 Communications in Statistics. Theory and Methods 13 Annals of the Institute of Statistical Mathematics 13 Econometric Reviews 12 Journal of the American Statistical Association 12 Statistics & Probability Letters 11 Scandinavian Journal of Statistics 10 The Annals of Applied Probability 10 Journal of Statistical Computation and Simulation 9 Statistics 8 Journal of Time Series Analysis 7 Statistical Science 7 Journal of Nonparametric Statistics 6 The Canadian Journal of Statistics 6 Journal of Multivariate Analysis 6 International Journal of Theoretical and Applied Finance 6 Journal of the Korean Statistical Society 6 SIAM Journal on Financial Mathematics 5 Communications in Statistics. Simulation and Computation 5 Decisions in Economics and Finance 5 Asia-Pacific Financial Markets 5 Statistics and Computing 4 Journal of Economic Dynamics & Control 4 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques 4 Science China. Mathematics 4 Annals of Finance 4 SIAM/ASA Journal on Uncertainty Quantification 3 Journal of Statistical Physics 3 Mathematics and Computers in Simulation 3 Insurance Mathematics & Economics 3 Probability Theory and Related Fields 3 Economics Letters 3 Computational Statistics 3 Test 3 Applied Mathematical Finance 3 Mathematical Finance 2 Journal of Computational Physics 2 Metrika 2 Applied Mathematics and Computation 2 Applied Mathematics and Optimization 2 Metron 2 Acta Mathematicae Applicatae Sinica. English Series 2 Science in China. Series A 2 M$$^3$$AS. Mathematical Models & Methods in Applied Sciences 2 Automation and Remote Control 2 European Journal of Operational Research 2 Applied Mathematics. Series B (English Edition) 2 The Econometrics Journal 2 Journal of Applied Statistics 2 Review of Derivatives Research 2 Stochastics 2 Statistical Methodology 2 Mathematics and Financial Economics 2 AStA. Advances in Statistical Analysis 2 Journal of Time Series Econometrics 1 Advances in Applied Probability 1 Computers & Mathematics with Applications 1 The Annals of Probability 1 Automatica 1 Biometrical Journal 1 Fuzzy Sets and Systems 1 International Journal of Mathematics and Mathematical Sciences 1 Journal of Applied Probability 1 Journal of Economic Theory 1 Journal of Functional Analysis 1 Journal of Mathematical Economics 1 Mathematics of Operations Research 1 Operations Research 1 SIAM Journal on Control and Optimization 1 SIAM Journal on Numerical Analysis 1 Theoretical Computer Science 1 Transactions of the American Mathematical Society 1 Sequential Analysis 1 Journal of Theoretical Probability 1 Annals of Operations Research 1 Japan Journal of Industrial and Applied Mathematics 1 Applied Mathematical Modelling 1 International Journal of Computer Mathematics 1 Mathematical Methods of Statistics 1 Statistical Papers 1 Journal of Mathematical Sciences (New York) 1 Economic Theory 1 Random Operators and Stochastic Equations 1 Bulletin des Sciences Mathématiques 1 Statistica Sinica 1 Monte Carlo Methods and Applications 1 Complexity 1 Differential Equations and Dynamical Systems 1 Soft Computing 1 Studies in Nonlinear Dynamics and Econometrics ...and 25 more Serials
all top 5

#### Cited in 23 Fields

 587 Statistics (62-XX) 288 Probability theory and stochastic processes (60-XX) 233 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 94 Numerical analysis (65-XX) 13 Systems theory; control (93-XX) 8 Operations research, mathematical programming (90-XX) 7 Partial differential equations (35-XX) 7 Calculus of variations and optimal control; optimization (49-XX) 5 Harmonic analysis on Euclidean spaces (42-XX) 3 Computer science (68-XX) 3 Biology and other natural sciences (92-XX) 2 Special functions (33-XX) 2 Statistical mechanics, structure of matter (82-XX) 2 Information and communication theory, circuits (94-XX) 1 History and biography (01-XX) 1 Combinatorics (05-XX) 1 Potential theory (31-XX) 1 Dynamical systems and ergodic theory (37-XX) 1 Difference and functional equations (39-XX) 1 Integral transforms, operational calculus (44-XX) 1 Integral equations (45-XX) 1 Functional analysis (46-XX) 1 Quantum theory (81-XX)