Per A. Mykland

University of Chicago - Department of Statistics

Chicago, IL 60637-1514

United States

  • University of Chicago - Department of Statistics

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    • Tel: 773-702-8044
SCHOLARLY PAPERS

21

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Scholarly Papers (21)

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1.

The Estimation of Leverage Effect with High Frequency Data

Journal of the American Statistical Association, Forthcoming
Number of pages: 44 Posted: 30 Aug 2011 Last Revised: 13 Nov 2014
Christina Dan Wang and Per A. Mykland
Columbia University - Department of Statistics and University of Chicago - Department of Statistics
Downloads 435 (94,497)
Citation 14

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consistency, discrete observation, efficiency, Itˆo process, leverage effect, realized volatility, stable convergence, skewness, microstructure noise

2.

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

Number of pages: 44 Posted: 21 Feb 2012
Per A. Mykland, Neil Shephard and Kevin Sheppard
University of Chicago - Department of Statistics, Harvard University and University of Oxford - Department of Economics
Downloads 372 (113,078)
Citation 19

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bipower variation, jumps, market microstructure noise, multipower variation, non-parametric analysis, quadratic variation, semimartingale, volatility, volatility of volatility

3.

Realized Volatility When Sampling Times are Possibly Endogenous

Econometric Theory, Forthcoming
Number of pages: 45 Posted: 21 Dec 2009 Last Revised: 27 Apr 2013
Yingying Li, Yingying Li, Per A. Mykland, Eric Renault, Lan Zhang and Xinghua Zheng
Hong Kong University of Science & Technology (HKUST), Dept of ISOM and Dept of FinanceHong Kong University of Science & Technology (HKUST) - Department of Information Systems, Business Statistics and Operations Management, University of Chicago - Department of Statistics, University of North Carolina (UNC) at Chapel Hill - Department of Economics, University of Illinois at Chicago - Department of Finance and Hong Kong University of Science & Technology (HKUST) - Department of Information Systems, Business Statistics and Operations Management
Downloads 336 (126,543)
Citation 14

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bias-correction, continuous semimartingale, discrete observation, efficiency, endogeneity, It{\^o} process, realized volatility, stable convergence

4.

Ultra High Frequency Volatility Estimation with Dependent Microstructure Noise

Downloads 239 (178,969)
Citation 22

Ultra High Frequency Volatility Estimation with Dependent Microstructure Noise

NBER Working Paper No. w11380
Number of pages: 43 Posted: 04 Jul 2005 Last Revised: 07 Aug 2022
Yacine Ait-Sahalia, Per A. Mykland and Lan Zhang
Princeton University - Department of Economics, University of Chicago - Department of Statistics and University of Illinois at Chicago - Department of Finance
Downloads 137 (291,074)
Citation 2

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Ultra High Frequency Volatility Estimation with Dependent Microstructure Noise

Bundesbank Series 1 Discussion Paper No. 2005,30
Number of pages: 60 Posted: 08 Jun 2016
Yacine Ait-Sahalia, Per A. Mykland and Lan Zhang
Princeton University - Department of Economics, University of Chicago - Department of Statistics and University of Illinois at Chicago - Department of Finance
Downloads 102 (360,314)
Citation 6

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Market microstructure, Serial dependence, High frequency data, Realized volatility, Subsampling, Two Scales Realized Volatility

5.

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

CREATES Research Paper 2007-43
Number of pages: 32 Posted: 24 Jun 2008 Last Revised: 20 May 2010
Jean Jacod, Yingying Li, Yingying Li, Per A. Mykland, Mark Podolskij and Mathias Vetter
Université Paris VI Pierre et Marie Curie, Hong Kong University of Science & Technology (HKUST), Dept of ISOM and Dept of FinanceHong Kong University of Science & Technology (HKUST) - Department of Information Systems, Business Statistics and Operations Management, University of Chicago - Department of Statistics, Aarhus University - School of Business and Social Sciences and Ruhr University of Bochum
Downloads 192 (219,338)
Citation 89

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consistency, continuity, discrete observation, Itý process, leverage effect, pre-averaging, quarticity, realized volatility, stable convergence

6.

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

Econometrica, Forthcoming
Number of pages: 56 Posted: 04 Aug 2014 Last Revised: 19 Sep 2016
Per A. Mykland and Lan Zhang
University of Chicago - Department of Statistics and University of Illinois at Chicago - Department of Finance
Downloads 183 (228,643)
Citation 9

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asynchronous times, consistency, discrete observation, edge effect, irregular times, leverage effect, microscructure, observed information, realized volatility, robust estimation, semimartingale, two scales estimation

7.

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

Number of pages: 53 Posted: 21 Dec 2015 Last Revised: 16 Jan 2017
Richard Chen and Per A. Mykland
University of Chicago - Department of Statistics and University of Chicago - Department of Statistics
Downloads 166 (248,354)
Citation 3

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Microstructure, High-Frequency Tests, Non-Parametric Tests, Statistical Powers, Stable Central Limit Theorems, Non-Stationarity, Volatility, Liquidity

8.

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

Number of pages: 78 Posted: 15 Feb 2018
Dachuan Chen, Per A. Mykland and Lan Zhang
Nankai University, University of Chicago - Department of Statistics and University of Illinois at Chicago - Department of Finance
Downloads 159 (257,631)
Citation 5

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Asynchronous sampling times, Factor model, High dimensionality, High frequency, Market microstructure noise, Principal component analysis, Spot covariance and precision matrices

9.

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

NBER Working Paper No. w10111
Number of pages: 30 Posted: 19 Nov 2003 Last Revised: 17 Feb 2022
Lan Zhang, Yacine Ait-Sahalia and Per A. Mykland
University of Illinois at Chicago - Department of Finance, Princeton University - Department of Economics and University of Chicago - Department of Statistics
Downloads 119 (321,931)
Citation 51

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10.

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

Number of pages: 51 Posted: 20 Nov 2007
Per A. Mykland and Lan Zhang
University of Chicago - Department of Statistics and University of Illinois at Chicago - Department of Finance
Downloads 110 (340,122)
Citation 12

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consistency, cumulants, contiguity, continuity, discrete observation, efficiency, equivalent martingale measure, Ito process, leverage effect, likelihood inference, realized volatility, stable convergence.

11.

Jumps in Equilibrium Prices and Market Microstructure Noise

Journal of Econometrics, Forthcoming
Number of pages: 44 Posted: 19 Mar 2012
Suzanne S. Lee, Suzanne S. Lee and Per A. Mykland
Georgia Institute of Technology - Finance AreaGeorgia Institute of Technology - Finance Area and University of Chicago - Department of Statistics
Downloads 106 (348,750)
Citation 10

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jumps, noise, nonparametric tests, high frequency data

12.

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

Downloads 60 (483,191)
Citation 12

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

NBER Working Paper No. w9611
Number of pages: 53 Posted: 17 Oct 2005 Last Revised: 16 Apr 2022
Yacine Ait-Sahalia and Per A. Mykland
Princeton University - Department of Economics and University of Chicago - Department of Statistics
Downloads 60 (490,374)
Citation 12

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13.

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

Journal of Econometrics, Vol. 194, No. 2, 2016
Number of pages: 51 Posted: 26 Mar 2016 Last Revised: 19 Sep 2016
Per A. Mykland and Lan Zhang
University of Chicago - Department of Statistics and University of Illinois at Chicago - Department of Finance
Downloads 59 (487,067)
Citation 4

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consistency, cumulants, contiguity, continuity, discrete observation, efficiency, equivalent martingale measure, high frequency data, jumps, leverage effect, M-estimation, medianisation, microscructure, pre-averaging, realised beta, realised volatility, robust estimation, semi-martingale

14.

Estimating and Forecasting Volatility Using Leverage Effect

Number of pages: 33 Posted: 27 Dec 2017
Christina Dan Wang, Per A. Mykland and Lan Zhang
Columbia University - Department of Statistics, University of Chicago - Department of Statistics and University of Illinois at Chicago - Department of Finance
Downloads 57 (494,830)
Citation 1

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Integrated Volatility, Leverage Effect, Realized Volatility, Discrete Observation, Itộ Process, Microstructure Noise, Pre-Averaging, Stable Convergence

15.

Are Volatility Estimators Robust with Respect to Modeling Assumptions?

Bernoulli, Vol. 13, No. 3, pp. 601-622, 2007
Number of pages: 30 Posted: 20 May 2010
Yingying Li, Yingying Li and Per A. Mykland
Hong Kong University of Science & Technology (HKUST), Dept of ISOM and Dept of FinanceHong Kong University of Science & Technology (HKUST) - Department of Information Systems, Business Statistics and Operations Management and University of Chicago - Department of Statistics
Downloads 39 (577,603)
Citation 1

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Bias Correction; Local Time, Market Microstructure, Martingale, Measurement Error, Robustness, Realized Volatility, Subsampling, Two Scales Realized Volatility

16.

Edgeworth Expansions for Realized Volatility and Related Estimators

NBER Working Paper No. t0319
Number of pages: 45 Posted: 22 Aug 2007 Last Revised: 18 May 2022
Yacine Ait-Sahalia, Lan Zhang and Per A. Mykland
Princeton University - Department of Economics, University of Illinois at Chicago - Department of Finance and University of Chicago - Department of Statistics
Downloads 39 (577,603)

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17.

High Dimensional Beta Test with High Frequency Data

Number of pages: 54 Posted: 28 Jun 2022
Dachuan Chen, Long Feng, Per A. Mykland and Lan Zhang
Nankai University, Nankai University, University of Chicago - Department of Statistics and University of Illinois at Chicago - Department of Finance
Downloads 34 (605,271)

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High Dimensionality, Time-Varying Beta Process, High Frequency Data, Hypothesis Tests

18.

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

Journal of Econometrics, Forthcoming
Number of pages: 33 Posted: 01 Aug 2018
Per A. Mykland, Lan Zhang and Dachuan Chen
University of Chicago - Department of Statistics, University of Illinois at Chicago - Department of Finance and Nankai University
Downloads 34 (605,271)

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Asynchronous Times, Consistency, Discrete Observation, Efficiency, Endogenous Times, Equivalent Martingale Measure, Irregular Times, Ito Process, Leads and Lags, Leverage Effect, Microstructure, Pre-Averaging, Realized Volatility, Robust Estimation, Stable Convergence, Two Scale Estimation

19.

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

NBER Working Paper No. t0276
Number of pages: 63 Posted: 11 Apr 2002 Last Revised: 13 Apr 2022
Yacine Ait-Sahalia and Per A. Mykland
Princeton University - Department of Economics and University of Chicago - Department of Statistics
Downloads 34 (605,271)

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20.

Evaluating Hedging Errors: An Asymptotic Approach

Number of pages: 35 Posted: 23 Mar 2005
Takaki Hayashi and Per A. Mykland
Columbia University - Department of Statistics and University of Chicago - Department of Statistics
Downloads 17 (726,059)
Citation 1

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21.

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

The Review of Financial Studies, Vol. 21, Issue 6, pp. 2535-2563, 2008
Posted: 15 Dec 2008
Suzanne S. Lee, Suzanne S. Lee and Per A. Mykland
Georgia Institute of Technology - Finance AreaGeorgia Institute of Technology - Finance Area and University of Chicago - Department of Statistics

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G12, G22, G14