Per Aslak Mykland

Available identifiers

zbMath Open mykland.per-aslakMaRDI QIDQ216426

List of research outcomes

Publication	Date of Publication	Type
Realized regression with asynchronous and noisy high frequency and high dimensional data	2024-03-06	Paper
IN-SAMPLE ASYMPTOTICS AND ACROSS-SAMPLE EFFICIENCY GAINS FOR HIGH FREQUENCY DATA STATISTICS	2023-03-06	Paper
A CLT for second difference estimators with an application to volatility and intensity	2022-11-02	Paper
The observed asymptotic variance: hard edges, and a regression approach	2021-03-24	Paper
The Five Trolls Under the Bridge: Principal Component Analysis With Asynchronous and Noisy High Frequency Data	2021-01-22	Paper
Combining statistical intervals and market prices: the worst case state price distribution	2019-09-02	Paper
The algebra of two scales estimation, and the S-TSRV: high frequency estimation that is robust to sampling times	2019-04-26	Paper
Assessment of Uncertainty in High Frequency Data: The Observed Asymptotic Variance	2019-01-31	Paper
Model-free approaches to discern non-stationary microstructure noise and time-varying liquidity in high-frequency data	2017-08-21	Paper
The Estimation of Leverage Effect With High-Frequency Data	2017-08-04	Paper
Jumps in equilibrium prices and market microstructure noise	2017-05-12	Paper
Estimation of integrated quadratic covariation with endogenous sampling times	2017-01-30	Paper
Cumulants and Bartlett Identities in Cox Regression	2017-01-16	Paper
Inference for Multi‐dimensional High‐frequency Data with an Application to Conditional Independence Testing	2016-12-02	Paper
Between data cleaning and inference: pre-averaging and robust estimators of the efficient price	2016-09-06	Paper
On the jump activity index for semimartingales	2016-08-15	Paper
Ultra high frequency volatility estimation with dependent microstructure noise	2016-08-10	Paper
Edgeworth expansions for realized volatility and related estimators	2016-08-10	Paper
An analysis of Hansen-Scheinkman moment estimators for discretely and randomly sampled diffusions	2016-06-10	Paper
On Generating Monte Carlo Samples of Continuous Diffusion Bridges	2015-06-15	Paper
Microstructure noise in the continuous case: approximate efficiency of the adaptive pre-averaging method	2015-05-27	Paper
A Gaussian calculus for inference from high frequency data	2014-11-12	Paper
REALIZED VOLATILITY WHEN SAMPLING TIMES ARE POSSIBLY ENDOGENOUS	2014-09-25	Paper
https://portal.mardi4nfdi.de/entity/Q4913195	2013-04-03	Paper
ANOVA for diffusions and Itō processes	2012-09-03	Paper
The Double Gaussian Approximation for High Frequency Data	2012-09-01	Paper
Inference for volatility-type objects and implications for hedging	2012-01-25	Paper
Inference for Continuous Semimartingales Observed at High Frequency	2009-12-21	Paper
Estimating Volatility in the Presence of Market Microstructure Noise: A Review of the Theory and Practical Considerations	2009-11-27	Paper
Microstructure noise in the continuous case: the pre-averaging approach	2009-07-15	Paper
https://portal.mardi4nfdi.de/entity/Q3511639	2008-07-11	Paper
Are volatility estimators robust with respect to modeling assumptions?	2008-02-06	Paper
A Tale of Two Time Scales	2007-08-20	Paper
An asymptotic decomposition of hedging errors	2007-07-31	Paper
The Effects of Random and Discrete Sampling when Estimating Continuous-Time Diffusions	2006-06-19	Paper
EVALUATING HEDGING ERRORS: AN ASYMPTOTIC APPROACH	2006-02-08	Paper
Estimators of diffusions with randomly spaced discrete observations: a general theory	2005-02-28	Paper
Conservative delta hedging.	2004-10-27	Paper
Financial options and statistical prediction intervals	2004-06-09	Paper
The interpolation of options	2004-03-16	Paper
Likelihood computations without Bartlett identities	2002-06-30	Paper
Bartlett identities and large deviations in likelihood theory	2000-12-27	Paper
Empirical likelihood in the presence of nuisance parameters	1999-07-05	Paper
https://portal.mardi4nfdi.de/entity/Q4215564	1999-02-09	Paper
An evaluation of the power and conditionality properties of empirical likelihood	1998-11-03	Paper
Dual likelihood	1997-12-14	Paper
Algorithms for computing self-consistent and maximum likelihood estimators with doubly censored data	1997-08-03	Paper
Embedding and asymptotic expansions for martingales	1996-08-13	Paper
Martingale expansions and second order inference	1996-06-23	Paper
https://portal.mardi4nfdi.de/entity/Q4844367	1996-01-09	Paper
Regeneration in Markov Chain Samplers	1995-08-30	Paper
Bartlett type identities for martingales	1994-06-29	Paper
Nonlinear Experiments: Optimal Design and Inference Based on Likelihood	1993-11-14	Paper
Asymptotic expansions for martingales	1993-10-11	Paper
Asymptotic expansions and bootstrapping distributions for dependent variables: A martingale approach	1992-09-27	Paper

Research outcomes over time

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