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P

Per A. Mykland

The University of Chicago

35H指数
115论文数
8.8K被引数
收录论文 27
发表时间
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High dimensional regression coefficient test with high frequency data高频数据下高维回归系数检验
errJournal of Econometrics
IF4
err2024-07-17
err0
PREAI
errDachuan Chen; Long Feng; Per A. Mykland; Lan Zhang
err分享
err收藏
Realized regression with asynchronous and noisy high frequency and high dimensional data☆实现了具有异步和嘈杂的高频高维数据 ☆ 的回归
errJOURNAL OF ECONOMETRICS
IF4
err2024-02-01
err1
PREAI
errChen, Dachuan; Mykland, Per A.; Zhang, Lan
err分享
err收藏
A CLT FOR SECOND DIFFERENCE ESTIMATORS WITH AN APPLICATION TO VOLATILITY AND INTENSITY
errANNALS OF STATISTICS
IF3.7
err2022-08-01
err1
errOAAI
errStoltenberg, Emil A.; Mykland, Per A.; Zhang, Lan
err分享
err收藏
The Observed Asymptotic Variance: Hard edges, and a regression approach
errJOURNAL OF ECONOMETRICS
IF4
err2021-05-01
err1
errOAAI
errMykland, Per A.; Zhang, Lan
err分享
err收藏
The Five Trolls Under the Bridge: Principal Component Analysis With Asynchronous and Noisy High Frequency Data
errJOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION
IF3
err2020-01-03
err11
errOAAI
errChen, Dachuan; Mykland, Per A.; Zhang, Lan
err分享
err收藏
Combining statistical intervals and market prices: The worst case state price distribution
errJOURNAL OF ECONOMETRICS
IF4
err2019-09-01
err0
PREAI
errMykland, Per Aslak
err分享
err收藏
The algebra of two scales estimation, and the S-TSRV: High frequency estimation that is robust to sampling times
errJOURNAL OF ECONOMETRICS
IF4
err2019-01-01
err11
errOAAI
errMykland, Per A.; Zhang, Lan; Chen, Dachuan
err分享
err收藏
Model-free approaches to discern non-stationary microstructure noise and time-varying liquidity in high-frequency data
errJOURNAL OF ECONOMETRICS
IF4
err2017-09-01
err4
errOAAI
errChen, Richard Y.; Mykland, Per A.
err分享
err收藏
Estimation of integrated quadratic covariation with endogenous sampling times
errJOURNAL OF ECONOMETRICS
IF4
err2017-03-01
err11
errOAAI
errPotiron, Yoann; Mykland, Per A.
err分享
err收藏
ASSESSMENT OF UNCERTAINTY IN HIGH FREQUENCY DATA: THE OBSERVED ASYMPTOTIC VARIANCE
errECONOMETRICA
IF7.1
err2017-01-01
err24
errOAAI
errMykland, Per A.; Zhang, Lan
err分享
err收藏
Between data cleaning and inference: Pre-averaging and robust estimators of the efficient price
errJOURNAL OF ECONOMETRICS
IF4
err2016-10-01
err17
errOAAI
errMykland, Per A.; Zhang, Lan
err分享
err收藏
Financial Statistics and Risk Management: An Overview
errJOURNAL OF ECONOMETRICS
IF4
err2016-10-01
err0
PREAI
errChen, Rong; Mykland, Per; Yao, Qiwei
err分享
err收藏
The Estimation of Leverage Effect With High-Frequency Data
errJOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION
IF3
err2014-03-19
err59
PREAI
errWang, Christina D.; Mykland, Per A.
err分享
err收藏
Jumps in equilibrium prices and market microstructure noise均衡价格跳跃与市场微观结构噪声
errJOURNAL OF ECONOMETRICS
IF4
err2012-06-01
err60
PREAI
errLee, Suzanne S.; Mykland, Per A.
err分享
err收藏
On the jump activity index for semimartingales
errJOURNAL OF ECONOMETRICS
IF4
err2012-02-01
err51
PREAI
errJing, Bing-Yi; Kong, Xin-Bing; Liu, Zhi; Mykland, Per
err分享
err收藏
Edgeworth expansions for realized volatility and related estimators
errJOURNAL OF ECONOMETRICS
IF4
err2011-01-01
err29
errOAAI
errZhang, Lan; Mykland, Per A.; Ait-Sahalia, Yacine
err分享
err收藏
Realized Volatility
errJOURNAL OF ECONOMETRICS
IF4
err2011-01-01
err13
PREAI
errMeddahi, Nour; Mykland, Per; Shephard, Neil
err分享
err收藏
Ultra high frequency volatility estimation with dependent microstructure noise
errJOURNAL OF ECONOMETRICS
IF4
err2011-01-01
err185
errOAAI
errAit-Sahalia, Yacine; Mykland, Per A.; Zhang, Lan
err分享
err收藏
On Generating Monte Carlo Samples of Continuous Diffusion Bridges
errJOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION
IF3
err2010-06-01
err24
PREAI
errLin, Ming; Chen, Rong; Mykland, Per
err分享
err收藏
INFERENCE FOR CONTINUOUS SEMIMARTINGALES OBSERVED AT HIGH FREQUENCY
errECONOMETRICA
IF7.1
err2009-01-01
err134
errOAAI
errMykland, Per A.; Zhang, Lan
err分享
err收藏

研究方向

暂时未获取到该数据
合作学者
合作期刊
N
Neil Shephard
H 指数: 69 · 论文数: 272
Y
Yacine Aı̈t-Sahalia
H 指数: 59 · 论文数: 222
张岚 封面图
张岚 (Lan Zhang)
H 指数: 44 · 论文数: 391
Q
Qiwei Yao
H 指数: 36 · 论文数: 240
L
Lan Zhang
H 指数: 34 · 论文数: 352
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