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Mykland, Per Aslak

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Author ID: mykland.per-aslak Recent zbMATH articles by "Mykland, Per Aslak"
Published as: Mykland, Per A.; Mykland, Per Aslak; Mykland, Per; Mykland, P. A.
Documents Indexed: 55 Publications since 1992

Publications by Year

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
328
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
166
2009
Ultra high frequency volatility estimation with dependent microstructure noise. Zbl 1441.62577
Aït-Sahalia, Yacine; Mykland, Per A.; Zhang, Lan
65
2011
ANOVA for diffusions and Itō processes. Zbl 1246.91110
Mykland, Per Aslak; Zhang, Lan
58
2006
Inference for continuous semimartingales observed at high frequency. Zbl 1182.62216
Mykland, Per A.; Zhang, Lan
55
2009
Algorithms for computing self-consistent and maximum likelihood estimators with doubly censored data. Zbl 0867.62019
Mykland, Per A.; Ren, Jian-Jian
45
1996
The effects of random and discrete sampling when estimating continuous-time diffusions. Zbl 1142.60381
Aït-Sahalia, Yacine; Mykland, Per A.
36
2003
Evaluating hedging errors: an asymptotic approach. Zbl 1153.91505
Hayashi, Takaki; Mykland, Per A.
34
2005
Regeneration in Markov chain samplers. Zbl 0819.62082
Mykland, Per; Tierney, Luke; Yu, Bin
33
1995
Nonlinear experiments: Optimal design and inference based on likelihood. Zbl 0774.62079
Chaudhuri, Probal; Mykland, Per A.
27
1993
Estimators of diffusions with randomly spaced discrete observations: a general theory. Zbl 1062.62155
Aït-Sahalia, Yacine; Mykland, Per A.
26
2004
The econometrics of high-frequency data. Zbl 1375.62023
Mykland, Per A.; Zhang, Lan
25
2012
On the jump activity index for semimartingales. Zbl 1441.62754
Jing, Bing-Yi; Kong, Xin-Bing; Liu, Zhi; Mykland, Per
25
2012
Dual likelihood. Zbl 0877.62004
Mykland, Per Aslak
24
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
23
2006
Edgeworth expansions for realized volatility and related estimators. Zbl 1441.62912
Zhang, Lan; Mykland, Per A.; Aït-Sahalia, Yacine
21
2011
Realized volatility when sampling times are possibly endogenous. Zbl 1296.91290
Li, Yingying; Mykland, Per A.; Renault, Eric; Zhang, Lan; Zheng, Xinghua
20
2014
Are volatility estimators robust with respect to modeling assumptions? Zbl 1129.62097
Li, Yingying; Mykland, Per A.
19
2007
Conservative delta hedging. Zbl 1065.91030
Mykland, Per Aslak
18
2000
Financial options and statistical prediction intervals. Zbl 1042.62094
Mykland, Per Aslak
16
2003
Jumps in equilibrium prices and market microstructure noise. Zbl 1443.62360
Lee, Suzanne S.; Mykland, Per A.
15
2012
Asymptotic expansions for martingales. Zbl 0776.60047
Mykland, Per Aslak
13
1993
Bartlett type identities for martingales. Zbl 0808.62030
Mykland, Per Aslak
13
1994
The estimation of leverage effect with high-frequency data. Zbl 1367.62286
Wang, Christina D.; Mykland, Per A.
13
2014
An evaluation of the power and conditionality properties of empirical likelihood. Zbl 0918.62042
Lazar, Nicole; Mykland, Per Aslak
12
1998
Inference for volatility-type objects and implications for hedging. Zbl 1230.91197
Mykland, Per A.; Zhang, Lan
11
2008
Asymptotic expansions and bootstrapping distributions for dependent variables: A martingale approach. Zbl 0759.62011
Mykland, Per Aslak
11
1992
Empirical likelihood in the presence of nuisance parameters. Zbl 0917.62029
Lazar, Nicole A.; Mykland, Per Aslak
11
1999
On generating Monte Carlo samples of continuous diffusion bridges. Zbl 1392.60068
Lin, Ming; Chen, Rong; Mykland, Per
10
2010
Martingale expansions and second order inference. Zbl 0839.62083
Mykland, Per Aslak
9
1995
Inference for multi-dimensional high-frequency data with an application to conditional independence testing. Zbl 1373.62511
Bibinger, Markus; Mykland, Per A.
9
2016
A Gaussian calculus for inference from high frequency data. Zbl 1298.91196
Mykland, Per A.
8
2012
On efficient designing of nonlinear experiments. Zbl 0828.62062
Chaudhuri, Probal; Mykland, Per A.
7
1995
The interpolation of options. Zbl 1035.60071
Mykland, Per Aslak
7
2003
Bartlett identities and large deviations in likelihood theory. Zbl 0951.62014
Mykland, Per Aslak
6
1999
Microstructure noise in the continuous case: approximate efficiency of the adaptive pre-averaging method. Zbl 1314.62095
Jacod, Jean; Mykland, Per A.
6
2015
Assessment of uncertainty in high frequency data: the observed asymptotic variance. Zbl 1410.62208
Mykland, Per A.; Zhang, Lan
6
2017
Between data cleaning and inference: pre-averaging and robust estimators of the efficient price. Zbl 1443.62366
Mykland, Per A.; Zhang, Lan
5
2016
Embedding and asymptotic expansions for martingales. Zbl 0843.60049
Mykland, P. A.
4
1995
Estimation of integrated quadratic covariation with endogenous sampling times. Zbl 1443.62369
Potiron, Yoann; Mykland, Per A.
4
2017
An analysis of Hansen-Scheinkman moment estimators for discretely and randomly sampled diffusions. Zbl 1418.62285
Aït-Sahalia, Yacine; Mykland, Per A.
3
2008
The double Gaussian approximation for high frequency data. Zbl 1246.62088
Mykland, Per A.; Zhang, Lan
3
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.
2
2009
Likelihood computations without Bartlett identities. Zbl 0987.62017
Mykland, Per Aslak
2
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
2
2019
Cumulants and Bartlett identities in Cox regression. Zbl 1357.62289
Mykland, Per Aslak; Ye, Jianming
1
2016
An asymptotic decomposition of hedging errors. Zbl 1115.91340
Song, Seongjoo; Mykland, Per A.
1
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.
1
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
1
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
1
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
2
2019
Assessment of uncertainty in high frequency data: the observed asymptotic variance. Zbl 1410.62208
Mykland, Per A.; Zhang, Lan
6
2017
Estimation of integrated quadratic covariation with endogenous sampling times. Zbl 1443.62369
Potiron, Yoann; Mykland, Per A.
4
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.
1
2017
Inference for multi-dimensional high-frequency data with an application to conditional independence testing. Zbl 1373.62511
Bibinger, Markus; Mykland, Per A.
9
2016
Between data cleaning and inference: pre-averaging and robust estimators of the efficient price. Zbl 1443.62366
Mykland, Per A.; Zhang, Lan
5
2016
Cumulants and Bartlett identities in Cox regression. Zbl 1357.62289
Mykland, Per Aslak; Ye, Jianming
1
2016
Microstructure noise in the continuous case: approximate efficiency of the adaptive pre-averaging method. Zbl 1314.62095
Jacod, Jean; Mykland, Per A.
6
2015
Realized volatility when sampling times are possibly endogenous. Zbl 1296.91290
Li, Yingying; Mykland, Per A.; Renault, Eric; Zhang, Lan; Zheng, Xinghua
20
2014
The estimation of leverage effect with high-frequency data. Zbl 1367.62286
Wang, Christina D.; Mykland, Per A.
13
2014
The econometrics of high-frequency data. Zbl 1375.62023
Mykland, Per A.; Zhang, Lan
25
2012
On the jump activity index for semimartingales. Zbl 1441.62754
Jing, Bing-Yi; Kong, Xin-Bing; Liu, Zhi; Mykland, Per
25
2012
Jumps in equilibrium prices and market microstructure noise. Zbl 1443.62360
Lee, Suzanne S.; Mykland, Per A.
15
2012
A Gaussian calculus for inference from high frequency data. Zbl 1298.91196
Mykland, Per A.
8
2012
Ultra high frequency volatility estimation with dependent microstructure noise. Zbl 1441.62577
Aït-Sahalia, Yacine; Mykland, Per A.; Zhang, Lan
65
2011
Edgeworth expansions for realized volatility and related estimators. Zbl 1441.62912
Zhang, Lan; Mykland, Per A.; Aït-Sahalia, Yacine
21
2011
The double Gaussian approximation for high frequency data. Zbl 1246.62088
Mykland, Per A.; Zhang, Lan
3
2011
On generating Monte Carlo samples of continuous diffusion bridges. Zbl 1392.60068
Lin, Ming; Chen, Rong; Mykland, Per
10
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
166
2009
Inference for continuous semimartingales observed at high frequency. Zbl 1182.62216
Mykland, Per A.; Zhang, Lan
55
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.
2
2009
Inference for volatility-type objects and implications for hedging. Zbl 1230.91197
Mykland, Per A.; Zhang, Lan
11
2008
An analysis of Hansen-Scheinkman moment estimators for discretely and randomly sampled diffusions. Zbl 1418.62285
Aït-Sahalia, Yacine; Mykland, Per A.
3
2008
Are volatility estimators robust with respect to modeling assumptions? Zbl 1129.62097
Li, Yingying; Mykland, Per A.
19
2007
ANOVA for diffusions and Itō processes. Zbl 1246.91110
Mykland, Per Aslak; Zhang, Lan
58
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
23
2006
An asymptotic decomposition of hedging errors. Zbl 1115.91340
Song, Seongjoo; Mykland, Per A.
1
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
328
2005
Evaluating hedging errors: an asymptotic approach. Zbl 1153.91505
Hayashi, Takaki; Mykland, Per A.
34
2005
Estimators of diffusions with randomly spaced discrete observations: a general theory. Zbl 1062.62155
Aït-Sahalia, Yacine; Mykland, Per A.
26
2004
The effects of random and discrete sampling when estimating continuous-time diffusions. Zbl 1142.60381
Aït-Sahalia, Yacine; Mykland, Per A.
36
2003
Financial options and statistical prediction intervals. Zbl 1042.62094
Mykland, Per Aslak
16
2003
The interpolation of options. Zbl 1035.60071
Mykland, Per Aslak
7
2003
Likelihood computations without Bartlett identities. Zbl 0987.62017
Mykland, Per Aslak
2
2001
Conservative delta hedging. Zbl 1065.91030
Mykland, Per Aslak
18
2000
Empirical likelihood in the presence of nuisance parameters. Zbl 0917.62029
Lazar, Nicole A.; Mykland, Per Aslak
11
1999
Bartlett identities and large deviations in likelihood theory. Zbl 0951.62014
Mykland, Per Aslak
6
1999
An evaluation of the power and conditionality properties of empirical likelihood. Zbl 0918.62042
Lazar, Nicole; Mykland, Per Aslak
12
1998
Algorithms for computing self-consistent and maximum likelihood estimators with doubly censored data. Zbl 0867.62019
Mykland, Per A.; Ren, Jian-Jian
45
1996
Regeneration in Markov chain samplers. Zbl 0819.62082
Mykland, Per; Tierney, Luke; Yu, Bin
33
1995
Dual likelihood. Zbl 0877.62004
Mykland, Per Aslak
24
1995
Martingale expansions and second order inference. Zbl 0839.62083
Mykland, Per Aslak
9
1995
On efficient designing of nonlinear experiments. Zbl 0828.62062
Chaudhuri, Probal; Mykland, Per A.
7
1995
Embedding and asymptotic expansions for martingales. Zbl 0843.60049
Mykland, P. A.
4
1995
Bartlett type identities for martingales. Zbl 0808.62030
Mykland, Per Aslak
13
1994
Nonlinear experiments: Optimal design and inference based on likelihood. Zbl 0774.62079
Chaudhuri, Probal; Mykland, Per A.
27
1993
Asymptotic expansions for martingales. Zbl 0776.60047
Mykland, Per Aslak
13
1993
Asymptotic expansions and bootstrapping distributions for dependent variables: A martingale approach. Zbl 0759.62011
Mykland, Per Aslak
11
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

Citations by Year