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Per A. Mykland

Affiliations:

University of Chicago, Chicago, IL

Area:

Finance, Statistics

Website:

http://galton.uchicago.edu/~mykland/

Google:

"Per Aslak Mykland" OR "Per A Mykland"

Bio:

https://www.gf.org/fellows/all-fellows/per-a-mykland/
https://scholar.google.com/citations?user=Ic4pPAYAAAAJ
https://books.google.com/books?id=1YdHAQAAMAAJ

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Parents

Rudolph J. Beran	grad student	1989	UC Berkeley
(Bootstrap and Edgeworth Methods of Dependent Variables)

Children

Takaki Hayashi	grad student	2000	Chicago
Seongjoo Song	grad student	2001	Chicago
Rituparna Sen	grad student	2004	Chicago
Seo Y. Lee	grad student	2005	Chicago
Oli T. Atlason	grad student	2008	Chicago
Dale W. Rosenthal	grad student	2008	Chicago
Phillip Lynch	grad student	2009	Chicago

Collaborators

BETA: Related publications

Publications

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Potiron Y, Mykland P. (2020) Local Parametric Estimation in High Frequency Data Journal of Business & Economic Statistics. 38: 679-692
Chen D, Mykland PA, Zhang L. (2020) The Five Trolls Under the Bridge: Principal Component Analysis With Asynchronous and Noisy High Frequency Data Journal of the American Statistical Association. 1-18
Mykland PA, Zhang L. (2020) The Observed Asymptotic Variance: Hard edges, and a regression approach Journal of Econometrics
Mykland PA. (2019) Combining statistical intervals and market prices: The worst case state price distribution Journal of Econometrics. 212: 272-285
Mykland PA, Zhang L, Chen D. (2019) The algebra of two scales estimation, and the S-TSRV: High frequency estimation that is robust to sampling times Journal of Econometrics. 208: 101-119
Mykland PA, Zhang L. (2017) Assessment of Uncertainty in High Frequency Data: The Observed Asymptotic Variance Econometrica. 85: 197-231
Chen RY, Mykland PA. (2017) Model-Free Approaches to Discern Non-Stationary Microstructure Noise and Time-Varying Liquidity in High-Frequency Data Journal of Econometrics. 200: 79-103
Potiron Y, Mykland PA. (2017) Estimation of integrated quadratic covariation with endogenous sampling times Journal of Econometrics. 197: 20-41
Bibinger M, Mykland PA. (2016) Inference for Multi-dimensional High-frequency Data with an Application to Conditional Independence Testing Scandinavian Journal of Statistics
Mykland PA, Zhang L. (2016) Between Data Cleaning and Inference: Pre-Averaging and Robust Estimators of the Efficient Price Journal of Econometrics. 194: 242-262

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