Mykland, Per A.: search on Z-Library

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1

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

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

Journal:

Review of Financial Studies

Year:

2005

Language:

english

File:

PDF, 1.90 MB

english, 2005

2

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

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

Journal:

Journal of the American Statistical Association

Year:

2005

Language:

english

File:

PDF, 2.21 MB

english, 2005

3

[Realized Variance and Market Microstructure Noise]: Comment

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

Journal:

Journal of Business and Economic Statistics

Year:

2006

Language:

english

File:

PDF, 870 KB

english, 2006

4

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

Per Aslak Mykland

Journal:

The Annals of Statistics

Year:

1992

Language:

english

File:

PDF, 1.98 MB

english, 1992

5

Jumps in equilibrium prices and market microstructure noise

Suzanne S. Lee, Per A. Mykland

Journal:

Journal of Econometrics

Year:

2012

Language:

english

File:

PDF, 340 KB

english, 2012

6

Comment

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

Journal:

Journal of Business and Economic Statistics

Year:

2006

Language:

english

File:

PDF, 229 KB

english, 2006

7

Local Parametric Estimation in High Frequency Data*

Potiron, Yoann, Mykland, Per

Journal:

Journal of Business and Economic Statistics

Year:

2019

Language:

english

File:

PDF, 949 KB

english, 2019

8

Inference for Continuous Semimartingales Observed at High Frequency

Per A. Mykland, Lan Zhang

Journal:

Year:

2009

Language:

english

File:

PDF, 459 KB

english, 2009

9

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

Mykland, Per Aslak

Journal:

Journal of Econometrics

Year:

2019

Language:

english

File:

PDF, 617 KB

english, 2019

10

Model-free approaches to discern non-stationary microstructure noise and time-varying liquidity in high-frequency data

Chen, Richard Y., Mykland, Per A.

Journal:

Journal of Econometrics

Year:

2017

Language:

english

File:

PDF, 1.69 MB

english, 2017

11

The Estimation of Leverage Effect With High-Frequency Data

Wang, Christina D., Mykland, Per A.

Journal:

Journal of the American Statistical Association

Year:

2014

Language:

english

File:

PDF, 373 KB

english, 2014

12

Martingale Expansions and Second Order Inference

Per Aslak Mykland

Journal:

The Annals of Statistics

Year:

1995

Language:

english

File:

PDF, 1.89 MB

english, 1995

13

Conservative Delta Hedging

Per Aslak Mykland

Journal:

The Annals of Applied Probability

Year:

2000

Language:

english

File:

PDF, 1.98 MB

english, 2000

14

Jumps in Equilibrium Prices and Market Microstructure Noise

Lee, Suzanne S., Mykland, Per A.

Journal:

SSRN Electronic Journal

Year:

2008

Language:

english

File:

PDF, 395 KB

english, 2008

15

Ultra high frequency volatility estimation with dependent microstructure noise

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

Journal:

Journal of Econometrics

Year:

2011

Language:

english

File:

PDF, 976 KB

english, 2011

16

EVALUATING HEDGING ERRORS: AN ASYMPTOTIC APPROACH

Takaki Hayashi, Per A. Mykland

Journal:

Mathematical Finance

Year:

2005

Language:

english

File:

PDF, 288 KB

english, 2005

17

Empirical Likelihood in the Presence of Nuisance Parameters

Nicole A. Lazar and Per Aslak Mykland

Journal:

Year:

1999

Language:

english

File:

PDF, 715 KB

english, 1999

18

Estimators of Diffusions with Randomly Spaced Discrete Observations: A General Theory

Yacine Aït-Sahalia and Per A. Mykland

Journal:

The Annals of Statistics

Year:

2004

Language:

english

File:

PDF, 2.94 MB

english, 2004

19

Bartlett Type Identities for Martingales

Per Aslak Mykland

Journal:

The Annals of Statistics

Year:

1994

Language:

english

File:

PDF, 1.13 MB

english, 1994

20

The algebra of two scales estimation, and the S-TSRV: High frequency estimation that is robust to sampling times

Mykland, Per A., Zhang, Lan, Chen, Dachuan

Journal:

Journal of Econometrics

Year:

2018

Language:

english

File:

PDF, 591 KB

english, 2018

21

Ultra High Frequency Volatility Estimation with Dependent Microstructure Noise

Ait-Sahalia, Yacine, Mykland, Per A., Zhang, Lan

Journal:

SSRN Electronic Journal

Year:

2004

Language:

english

File:

PDF, 403 KB

english, 2004

22

The Five Trolls under the Bridge: Principal Component Analysis with Asynchronous and Noisy High Frequency Data *

Chen, Dachuan, Mykland, Per A., Zhang, Lan

Journal:

Journal of the American Statistical Association

Year:

2019

Language:

english

File:

PDF, 1.41 MB

english, 2019

23

Realized Volatility When Sampling Times are Possibly Endogenous

Li, Yingying, Mykland, Per A., Renault, Eric, Zhang, Lan, Zheng, Xinghua

Journal:

SSRN Electronic Journal

Year:

2009

Language:

english

File:

PDF, 579 KB

english, 2009

24

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

Mykland, Per A., Zhang, Lan

Journal:

SSRN Electronic Journal

Year:

2007

File:

PDF, 378 KB

2007

25

Are Volatility Estimators Robust with Respect to Modeling Assumptions?

Yingying Li and Per A. Mykland

Journal:

Year:

2007

Language:

english

File:

PDF, 1.28 MB

english, 2007

26

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

Yacine Aït-Sahalia and Per A. Mykland

Journal:

Year:

2003

Language:

english

File:

PDF, 1.48 MB

english, 2003

27

Financial options and statistical prediction intervals

Mykland, Per Aslak

Journal:

The Annals of Statistics

Year:

2003

Language:

english

File:

PDF, 234 KB

english, 2003

28

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

Bin Yu, Per Mykland

Journal:

Statistics and Computing

Year:

1998

Language:

english

File:

PDF, 290 KB

english, 1998

29

Bartlett Identities and Large Deviations in Likelihood Theory

Per Aslak Mykland

Journal:

The Annals of Statistics

Year:

1999

Language:

english

File:

PDF, 402 KB

english, 1999

30

The Estimation of Leverage Effect with High Frequency Data

Wang, Dan Christina, Mykland, Per A.

Journal:

SSRN Electronic Journal

Year:

2011

Language:

english

File:

PDF, 787 KB

english, 2011

31

On the jump activity index for semimartingales

Bing-Yi Jing, Xin-Bing Kong, Zhi Liu, Per Mykland

Journal:

Journal of Econometrics

Year:

2012

Language:

english

File:

PDF, 443 KB

english, 2012

32

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

Jacod, Jean, Mykland, Per A.

Journal:

Stochastic Processes and their Applications

Year:

2015

Language:

english

File:

PDF, 477 KB

english, 2015

33

Asymptotic Expansions for Martingales

Mykland, Per Aslak

Journal:

The Annals of Probability

Year:

1993

File:

PDF, 1.28 MB

1993

34

Handbook of Financial Econometrics: Applications || Option Pricing Bounds and Statistical Uncertainty: Using Econometrics to Find an Exit Strategy in Derivatives Trading

Mykland, Per A.

Year:

2010

Language:

english

File:

PDF, 420 KB

english, 2010

35

Are volatility estimators robust with respect to modeling assumptions?

Li, Yingying, Mykland, Per A.

Journal:

Year:

2007

Language:

english

File:

PDF, 258 KB

english, 2007

36

Local Parametric Estimation in High Frequency Data*

Potiron, Yoann, Mykland, Per

Journal:

Journal of Business and Economic Statistics

Year:

2019

File:

PDF, 949 KB

2019

37

Financial Options and Statistical Prediction Intervals

Per Aslak Mykland

Journal:

The Annals of Statistics

Year:

2003

Language:

english

File:

PDF, 2.67 MB

english, 2003

38

Bartlett Type Identities for Martingales

Mykland, Per Aslak

Journal:

The Annals of Statistics

Year:

1994

File:

PDF, 1.23 MB

1994

39

Financial Statistics and Risk Management

Chen, Rong, Mykland, Per, Yao, Qiwei

Journal:

Journal of Econometrics

Year:

2016

Language:

english

File:

PDF, 247 KB

english, 2016

40

theory

Mykland, Per Aslak

Journal:

The Annals of Statistics

Year:

1999

Language:

english

File:

PDF, 121 KB

english, 1999

41

Dual Likelihood

Mykland, Per Aslak

Journal:

The Annals of Statistics

Year:

1995

File:

PDF, 2.30 MB

1995

42

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

Mykland, Per A., Zhang, Lan

Journal:

SSRN Electronic Journal

Year:

2007

Language:

english

File:

PDF, 378 KB

english, 2007

43

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

Lee, Suzanne S., Mykland, Per A.

Journal:

Review of Financial Studies

Year:

2008

Language:

english

File:

PDF, 264 KB

english, 2008

44

Nonlinear Experiments: Optimal Design and Inference Based on Likelihood

Chaudhuri, Probal, Mykland, Per A.

Journal:

Journal of the American Statistical Association

Year:

1993

Language:

english

File:

PDF, 1.13 MB

english, 1993

45

Likelihood Computations without Bartlett Identities

Per Aslak Mykland

Journal:

Year:

2001

Language:

english

File:

PDF, 1.12 MB

english, 2001

46

Regeneration in Markov Chain Samplers

Per Mykland, Luke Tierney and Bin Yu

Journal:

Journal of the American Statistical Association

Year:

1995

Language:

english

File:

PDF, 1.70 MB

english, 1995

47

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

Lee, Suzanne S., Mykland, Per A.

Journal:

SSRN Electronic Journal

Year:

2006

Language:

english

File:

PDF, 250 KB

english, 2006

48

Realized Volatility

Nour Meddahi, Per Mykland, Neil Shephard

Journal:

Journal of Econometrics

Year:

2011

Language:

english

File:

PDF, 129 KB

english, 2011

49

The Observed Asymptotic Variance: Hard edges, and a regression approach

Mykland, Per A., Zhang, Lan

Journal:

Journal of Econometrics

Year:

2020

File:

PDF, 1.16 MB

2020

50

The Double Gaussian Approximation for High Frequency Data

PER A. MYKLAND, LAN ZHANG

Journal:

Scandinavian Journal of Statistics

Year:

2011

Language:

english

File:

PDF, 585 KB

english, 2011

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