Concepedia

Per A. Mykland

PA

Statistics

Publications

64

Citations

6.8K

H-Index

32

Active since

1992

Affiliations

University of Chicago(Current)

University of Illinois Chicago

Princeton University

Georgia Institute of Technology

Hong Kong University of Science and Technology

Per A. Mykland is an author at University of Chicago specializing in engineering, statistics, and statistical inference.

Top concepts

EngineeringStatisticsStatistical InferenceBusinessFinanceEstimation TheoryData ScienceAsset PricingProbabilityEconometrics

Publications per year

1992–2023

64

Publications

64

A Tale of Two Time Scales

Lan Zhang, Per A. Mykland, Yacine Aı̈t-Sahalia · Journal of the American Statistical Association · 2005 · 1.3K citations

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

Yacine Aı̈t-Sahalia, Per A. Mykland, Lan Zhang · Review of Financial Studies · 2005 · 913 citations

High Frequency Estimates, Sampling (Signal Processing), Engineering +21

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

Suzanne S. Lee, Per A. Mykland · Review of Financial Studies · 2007 · 892 citations

Microstructure noise in the continuous case: The pre-averaging approach

Jean Jacod, Yingying Li, Per A. Mykland et al. · Stochastic Processes and their Applications · 2008 · 713 citations

Noise, Stochastic Resonance, Stochastic Geometry +3

Ultra high frequency volatility estimation with dependent microstructure noise

Yacine Aı̈t-Sahalia, Per A. Mykland, Lan Zhang · Journal of Econometrics · 2010 · 371 citations

Volatility Modeling, Engineering, Asset Pricing +6

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