Per Mykland

20 catalog papers. Identity-linked publications and additional name matches are distinguished below.

ORCID: 0009-0007-0101-5772

Department of Statistics, The University of Chicago

Publications

• A CLT for second difference estimators with an application to volatility and intensity — The Annals of Statistics 2022
• The Five Trolls Under the Bridge: Principal Component Analysis With Asynchronous and Noisy High Frequency Data — Journal of the American Statistical Association 2020
• Assessment of Uncertainty in High Frequency Data: The Observed Asymptotic Variance — Econometrica 2017
• The Estimation of Leverage Effect With High-Frequency Data — Journal of the American Statistical Association 2014
• On Generating Monte Carlo Samples of Continuous Diffusion Bridges — Journal of the American Statistical Association 2010
• Inference for Continuous Semimartingales Observed at High Frequency — Econometrica 2009
• Jumps in Financial Markets: A New Nonparametric Test and Jump Dynamics — The Review of Financial Studies 2008
• A Tale of Two Time Scales — Journal of the American Statistical Association 2005
• How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise — The Review of Financial Studies 2005
• Estimators of diffusions with randomly spaced discrete observations: A general theory — The Annals of Statistics 2004 (name-matched, not ORCID-linked)
• Financial options and statistical prediction intervals — The Annals of Statistics 2003
• The Effects of Random and Discrete Sampling when Estimating Continuous–Time Diffusions — Econometrica 2003
• Bartlett identities and large deviations in likelihood theory — The Annals of Statistics 1999
• Algorithms for computing self-consistent and maximum likelihood estimators with doubly censored data — The Annals of Statistics 1996
• Martingale Expansions and Second Order Inference — The Annals of Statistics 1995
• Dual Likelihood — The Annals of Statistics 1995
• Regeneration in Markov Chain Samplers — Journal of the American Statistical Association 1995
• Bartlett Type Identities for Martingales — The Annals of Statistics 1994
• Nonlinear Experiments: Optimal Design and Inference Based on Likelihood — Journal of the American Statistical Association 1993
• Asymptotic Expansions and Bootstrapping Distributions for Dependent Variables: A Martingale Approach — The Annals of Statistics 1992