← All authors Per A. Mykland University of Chicago (from arXiv:2501.09483, 2025) · ORCID · OpenAlex
56 papers in scope · 55 published · 1 on the econ.EM arXiv · 6,486 citations · h-index 29 (over the papers listed here)
Related authors The 20 authors closest to this one in our weighted citation graph, most related first.
Kengo Kato Denis Chetverikov Alexandre Belloni Victor Chernozhukov Christian Hansen Matias D. Cattaneo Iván Fernández-Val Whitney K. Newey Vasilis Syrgkanis Martin Spindler Harold D. Chiang Max H. Farrell Daniel Chen James M. Robins Yuya Sasaki Susan Athey Jesper Sørensen Guido W. Imbens Anders Kock Yuta Koike Proximity is measured over citations between two papers we both hold, weighted by how heavily one leans on the other, and is symmetric — it does not distinguish citing from being cited. Authors without a profile here are skipped, and a genuinely close colleague can be missing simply because their work is not in our arXiv corpus. Method: docs/06-citations-pipeline.md .
Papers (1 of 56)
working paper 2025 · arXiv
High dimensional regression coefficient test with high frequency data
published 2024 · Journal of Econometrics · 5 citations
Realized regression with asynchronous and noisy high frequency and high dimensional data
published 2023 · Journal of Econometrics · 23 citations
with Dachuan Chen, Lan Zhang
A CLT for second difference estimators with an application to volatility and intensity
published 2022 · The Annals of Statistics · 3 citations · first circulated 2019
IN-SAMPLE ASYMPTOTICS AND ACROSS-SAMPLE EFFICIENCY GAINS FOR HIGH FREQUENCY DATA STATISTICS
published 2021 · Econometric Theory · 19 citations
The Observed Asymptotic Variance: Hard edges, and a regression approach
published 2020 · Journal of Econometrics · 2 citations
with Lan Zhang
The Five Trolls Under the Bridge: Principal Component Analysis With Asynchronous and Noisy High Frequency Data
published 2019 · Journal of the American Statistical Association · 36 citations · first circulated 2018
with Dachuan Chen, Lan Zhang
Combining statistical intervals and market prices: The worst case state price distribution
published 2019 · Journal of Econometrics · 2 citations
Big data in dynamic predictive econometric modeling
published 2019 · Journal of Econometrics · 11 citations
Local Parametric Estimation in High Frequency Data
published 2019 · Journal of Business and Economic Statistics · 5 citations
The algebra of two scales estimation, and the S-TSRV: High frequency estimation that is robust to sampling times
published 2018 · Journal of Econometrics · 25 citations
with Lan Zhang, Dachuan Chen
Model-free approaches to discern non-stationary microstructure noise and time-varying liquidity in high-frequency data
published 2017 · Journal of Econometrics · 11 citations · first circulated 2015
with Richard Y. Chen
Assessment of Uncertainty in High Frequency Data: The Observed Asymptotic Variance
published 2017 · Econometrica · 40 citations · first circulated 2014
with Lan Zhang
Estimation of integrated quadratic covariation with endogenous sampling times
published 2016 · Journal of Econometrics · 22 citations · first circulated 2015
Financial Statistics and Risk Management: An Overview
published 2016 · Journal of Econometrics
Between data cleaning and inference: Pre-averaging and robust estimators of the efficient price
published 2016 · Journal of Econometrics · 29 citations
with Lan Zhang
Inference for Multi‐dimensional High‐frequency Data with an Application to Conditional Independence Testing
published 2016 · Scandinavian Journal of Statistics · 24 citations · first circulated 2013
with Markus Bibinger
Microstructure noise in the continuous case: Approximate efficiency of the adaptive pre-averaging method
published 2015 · Stochastic Processes and their Applications · 23 citations
with Jean Jacod
Rounding Errors and Volatility Estimation
published 2014 · Journal of Financial Econometrics · 32 citations
with Y. Li
The Estimation of Leverage Effect With High-Frequency Data
published 2013 · Journal of the American Statistical Association · 103 citations · first circulated 2011
with Christina D. Wang, Dan Christina Wang
REALIZED VOLATILITY WHEN SAMPLING TIMES ARE POSSIBLY ENDOGENOUS
published 2013 · Econometric Theory · 77 citations · first circulated 2009
with Yingying Li, Éric Renault, Lan Zhang, Xinghua Zheng
Editorial
published 2013 · Stochastic Processes and their Applications
with Rainer Dahlhaus, Jean Jacod, Nakahiro Yoshida
Jumps in equilibrium prices and market microstructure noise
published 2012 · Journal of Econometrics · 110 citations · first circulated 2008
with Suzanne S. Lee
On the jump activity index for semimartingales
published 2011 · Journal of Econometrics · 79 citations
The Double Gaussian Approximation for High Frequency Data
published 2011 · Scandinavian Journal of Statistics · 14 citations
with Lan Zhang
Realized Volatility
published 2010 · Journal of Econometrics · 10 citations
On Generating Monte Carlo Samples of Continuous Diffusion Bridges
published 2010 · Journal of the American Statistical Association · 36 citations
with Ming Lin, Rong Chen, Ming-Tsan Lin
A Gaussian calculus for inference from high frequency data
published 2010 · Annals of Finance · 46 citations
Ultra high frequency volatility estimation with dependent microstructure noise
published 2010 · Journal of Econometrics · 376 citations · first circulated 2004
with Yacine Aït-Sahalia, Lan Zhang
Edgeworth expansions for realized volatility and related estimators
published 2010 · Journal of Econometrics · 71 citations · first circulated 2005
with Lan Zhang, Yacine Aït-Sahalia
Inference for Continuous Semimartingales Observed at High Frequency
published 2009 · Econometrica · 208 citations · first circulated 2007
with Lan Zhang
Microstructure noise in the continuous case: The pre-averaging approach
published 2008 · Stochastic Processes and their Applications · 725 citations · first circulated 2007
Inference for volatility-type objects and implications for hedging
published 2008 · Statistics and Its Interface · 59 citations
with Lan Zhang
Jumps in Financial Markets: A New Nonparametric Test and Jump Dynamics
published 2007 · Review of Financial Studies · 914 citations · first circulated 2005
with Suzanne S. Lee
An analysis of Hansen–Scheinkman moment estimators for discretely and randomly sampled diffusions
published 2007 · Journal of Econometrics · 16 citations
with Yacine Aı ̈t-Sahalia
Comment
published 2006 · Journal of Business and Economic Statistics · 6 citations
with Yacine Aït-Sahalia, Lan Zhang
A Tale of Two Time Scales
published 2005 · Journal of the American Statistical Association · 1354 citations
with Lan Zhang, Yacine Aït-Sahalia
Comment: A Selective Overview of Nonparametric Methods in Financial Econometrics
published 2005 · Statistical Science · 12 citations
with Lan Zhang
EVALUATING HEDGING ERRORS: AN ASYMPTOTIC APPROACH
published 2005 · Mathematical Finance · 12 citations
with Takaki Hayashi
How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise
published 2005 · Review of Financial Studies · 928 citations · first circulated 2003
with Yacine Aït-Sahalia, Lan Zhang
Financial options and statistical prediction intervals
published 2003 · The Annals of Statistics · 46 citations
The interpolation of options
published 2003 · Finance and Stochastics · 18 citations
The Effects of Random and Discrete Sampling when Estimating Continuous-Time Diffusions
published 2003 · Econometrica · 135 citations · first circulated 2002
with Yacine Aït-Sahalia
Likelihood Computations without Bartlett Identities
published 2001 · Bernoulli · 3 citations
Conservative delta hedging
published 2000 · The Annals of Applied Probability · 47 citations
Bartlett identities and large deviations in likelihood theory
published 1999 · The Annals of Statistics · 22 citations
Looking at Markov samplers through cusum path plots: a simple diagnostic idea
published 1998 · Statistics and Computing · 109 citations
with Bin Yu
Algorithms for computing self-consistent and maximum likelihood estimators with doubly censored data
published 1996 · The Annals of Statistics · 79 citations
with Jian-Jian Ren
Embedding and asymptotic expansions for martingales
published 1995 · Probability Theory and Related Fields · 17 citations
Martingale Expansions and Second Order Inference
published 1995 · The Annals of Statistics · 30 citations
Dual Likelihood
published 1995 · The Annals of Statistics · 60 citations
Regeneration in Markov Chain Samplers
published 1995 · Journal of the American Statistical Association · 222 citations
with Luke Tierney, Bin Yu
Bartlett Type Identities for Martingales
published 1994 · The Annals of Statistics · 37 citations
Nonlinear Experiments: Optimal Design and Inference Based on Likelihood
published 1993 · Journal of the American Statistical Association · 99 citations
with Probal Chaudhuri
Asymptotic Expansions for Martingales
published 1993 · The Annals of Probability · 47 citations
Asymptotic Expansions and Bootstrapping Distributions for Dependent Variables: A Martingale Approach
published 1992 · The Annals of Statistics · 47 citations
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