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Mykland, Per A.'s
Scholarly Papers
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Aggregate Statistics |
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Total
Downloads
1,018 |
Total
Citations
453 |
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1.
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Wang, Dan Christina
Princeton University Mykland, Per A.
University of Chicago - Department of Statistics
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30 Aug 11
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Last Revised:
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03 Jan 13
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242
(61,192)
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consistency, discrete observation, efficiency, Itˆo process, leverage effect, realized volatility, stable convergence, skewness, microstructure noise
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2.
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Li, Yingying
Hong Kong University of Science & Technology (HKUST) - Department of Information Systems, Business Statistics and Operations Management Mykland, Per A.
University of Chicago - Department of Statistics Renault, Eric
University of North Carolina (UNC) at Chapel Hill - Department of Economics Zhang, Lan
University of Illinois at Chicago - Department of Finance Zheng, Xinghua
Hong Kong University of Science & Technology (HKUST) - Department of Information Systems, Business Statistics and Operations Management
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21 Dec 09
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Last Revised:
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27 Apr 13
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191
(78,106)
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1
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bias-correction, continuous semimartingale, discrete observation, efficiency, endogeneity, It{\^o} process, realized volatility, stable convergence
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3.
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Jacod, Jean
Université Paris VI Pierre et Marie Curie Li, Yingying
Hong Kong University of Science & Technology (HKUST) - Department of Information Systems, Business Statistics and Operations Management Mykland, Per A.
University of Chicago - Department of Statistics Podolskij, Mark
University of Aarhus - School of Economics and Management Vetter, Mathias
University of Bochum
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24 Jun 08
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Last Revised:
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20 May 10
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128
(111,853)
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40
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consistency, continuity, discrete observation, Itý process, leverage effect, pre-averaging, quarticity, realized volatility, stable convergence
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4.
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Mykland, Per A.
University of Chicago - Department of Statistics Shephard, Neil
University of Oxford - Oxford-Man Institute Sheppard, Kevin
University of Oxford - Department of Economics
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122
(116,289)
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bipower variation, jumps, market microstructure noise, multipower variation, non-parametric analysis, quadratic variation, semimartingale, volatility, volatility of volatility
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5.
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Mykland, Per A.
University of Chicago - Department of Statistics Zhang, Lan
University of Illinois at Chicago - Department of Finance
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90
(145,002)
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17
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consistency, cumulants, contiguity, continuity, discrete observation, efficiency, equivalent martingale measure, Ito process, leverage effect, likelihood inference, realized volatility, stable convergence.
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6.
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Ait-Sahalia, Yacine
Princeton University - Department of Economics Mykland, Per A.
University of Chicago - Department of Statistics Zhang, Lan
University of Illinois at Chicago - Department of Finance
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59
(185,110)
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41
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7.
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Zhang, Lan
University of Illinois at Chicago - Department of Finance Ait-Sahalia, Yacine
Princeton University - Department of Economics Mykland, Per A.
University of Chicago - Department of Statistics
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47
(205,715)
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190
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8.
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How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise
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Ait-Sahalia, Yacine
Princeton University - Department of Economics Mykland, Per A.
University of Chicago - Department of Statistics
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36
(228,211)
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123
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Ait-Sahalia, Yacine
Princeton University - Department of Economics Mykland, Per A.
University of Chicago - Department of Statistics
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36
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123
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9.
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Lee, Suzanne S.
Georgia Institute of Technology - Finance Area Mykland, Per A.
University of Chicago - Department of Statistics
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33
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1
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jumps, noise, nonparametric tests, high frequency data
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10.
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Ait-Sahalia, Yacine
Princeton University - Department of Economics Zhang, Lan
University of Illinois at Chicago - Department of Finance Mykland, Per A.
University of Chicago - Department of Statistics
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21
(271,392)
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8
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11.
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Li, Yingying
Hong Kong University of Science & Technology (HKUST) - Department of Information Systems, Business Statistics and Operations Management Mykland, Per A.
University of Chicago - Department of Statistics
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17
(285,490)
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7
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Bias Correction; Local Time, Market Microstructure, Martingale, Measurement Error, Robustness, Realized Volatility, Subsampling, Two Scales Realized Volatility
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12.
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Ait-Sahalia, Yacine
Princeton University - Department of Economics Mykland, Per A.
University of Chicago - Department of Statistics
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17
(285,490)
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15
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13.
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Hayashi, Takaki
Columbia University - Department of Statistics Mykland, Per A.
University of Chicago - Department of Statistics
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15
(292,529)
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9
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14.
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Lee, Suzanne S.
Georgia Institute of Technology - Finance Area Mykland, Per A.
University of Chicago - Department of Statistics
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G12, G22, G14
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Records 1 -
14
of 14 matches
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