July 2018

Per's CV, including a full list of publications

Most links are to the actual papers, either from reprints owned by the author(s), via JSTOR, or from files submitted by the author(s). In the latter case, note that inaccuracies may have been corrected in the final printed form. For unposted manuscripts, or if you do not have access to JSTOR, please contact the author(s). Certain unpublished papers, such as "Statistical Causality", are posted in full under "Other" below.

If you would like a bio, or citation counts, or similar items, you may find them here.

Published or to Appear

  1. Mykland, P.A. (1991). Consulting as a part of statistical education - some experiences from Chicago (in Norwegian), Tilfeldig Gang 8, 26-28. (Tilfeldig Gang is the Bulletin of the Norwegian Statist. Assoc.)

  2. Mykland, P.A. (1992). Asymptotic expansions and bootstrapping-distributions for dependent variables: a martingale approach. Ann. Statist. 20 623-654. (via JSTOR)

  3. Mykland, P.A. (1993). Asymptotic expansions for martingales. Ann. Probab. 21 800-818. (via JSTOR)

  4. Chaudhuri, P., and Mykland, P.A. (1993). Nonlinear experiments; optimal design and inference based on likelihood. J. Amer. Statist. Assoc. 88 538-546. (via JSTOR)

  5. Mykland, P.A. (1994). Bartlett type identities for martingales. Ann. Statist. 22, 21-38.

  6. Mykland, P.A., Tierney, L., and Yu, B. (1995). Regeneration in Markov chain samplers. J. Amer. Statist. Assoc. 90 233-241.

  7. Mykland, P.A. (1995). Dual likelihood. Ann. Statist. 23, 396-421.

  8. Mykland, P.A. (1995). Martingale Expansions and Second Order Inference. Ann. Statist. 23, 707-731. (via JSTOR)

  9. Chaudhuri, P., and Mykland, P.A. (1995). On efficient designing of nonlinear experiments, Statistica Sinica 5, 421-440.

  10. Mykland, P.A. (1995). Embedding and asymptotic expansions for martingales, Probab. Theory Rel. Fields 103 475-492.

  11. Mykland, P. A., and Ren, J.-J. (1996). Algorithms for computing self-consistent and maximum likelihood estimators with doubly censored data. Ann. Statist. 24 1740-1764 (via JSTOR).

  12. Mykland, P.A. (1997). Likelihood from estimating functions, The Selected Proceedings of the Symposium on Estimating Functions}, Basawa, I.V., Godambe, V.P., and Taylor, R.L. (eds.). IMS Lect. Notes. -- Monograph series 32, 57-61.

  13. Yu, B., and Mykland, P. A. (1998). Looking at Markov samplers through cusum path plots: a simple diagnostic idea, Statistics and Computing 8 275-286.

  14. Lazar, N., and Mykland, P. A. (1998). An evaluation of the power and conditionality properties of empirical likelihood, Biometrika 85 523-534.

  15. Lazar, N., and Mykland, P. A. (1999). Empirical likelihood in the presence of nuisance parameters, Biometrika 86 203-211.

  16. Mykland, P.A. (1999). Bartlett identities and large deviations in likelihood theory, Ann. Statist. 27 1105-1117 (via JSTOR).

  17. Mykland, P.A. (1999). Trading strategies under statistical uncertainty: An approach based on a single prediction interval. In: The proceedings of the 1999 NBER/NSF time series conference, Academia Sinica, Taipei. Also TR 490, Department of Statistics, University of Chicago.

  18. Mykland, P.A. (2000). Conservative delta hedging Ann. Appl. Probab. 10 664-683 (via JSTOR).

  19. Mykland, P.A. (2001). Likelihood computations without Bartlett identities, Bernoulli 7 473-485.

  20. Mykland, P.A. (2003). The interpolation of options, Finance and Stochastics 7 417-432.

  21. Mykland, P.A. (2003). Financial options and statistical prediction intervals, Ann. Statist. 31 1413-1438.

  22. Ait-Sahalia, Y., and Mykland, P.A. (2003). The effects of random and discrete sampling when estimating continuous-time diffusions, Econometrica 71 483-549.

  23. Ait-Sahalia, Y., and Mykland, P.A. (2004). Estimators of diffusions with discrete observations: a general theory, Ann. Statist. 32 2186-2222.

  24. Ait-Sahalia, Y., Mykland, P.A., and Zhang, L. (2005). How often to sample a continuous-time process in the presence of market microstructure noise, Review of Financial Studies 18 351-416. Link to paper at RFS web site

  25. Hayashi, T., and Mykland, P.A. (2005). Evaluating hedging errors: An asymptotic approach, Mathematical Finance 15 309-343.

  26. Zhang, L., Mykland, P.A., and Ait-Sahalia, Y. (2005). A tale of two time scales: Determining integrated volatility with noisy high-frequency data, J. Amer. Statist. Assoc. 100 1394-1411.

  27. Mykland, P.A., and Zhang, L. (2006). ANOVA for diffusions and Ito processes. Ann. Statist. 34 1931-1963.

  28. Song, Seongjoo, and Mykland, P.A. (2006). An Asymptotic Decomposition of Hedging Errors, Journal of the Korean Statistical Society, 35 no.2, pp. 115-142.

  29. Li, Y., and Mykland, P.A. (2007). Are volatility estimators robust with respect to modeling assumptions, Bernoulli 13 601-622.

  30. Lee, S., and Mykland, P.A. (2008). Jumps in Financial Markets: A New Nonparametric Test and Jump Dynamics, Review of Financial Studies 21 2535-2563; doi:10.1093/rfs/hhm056.

  31. Ait-Sahalia, Y., and Mykland, P.A. (2008). An Analysis of Hansen-Scheinkman estimators for Randomly Sampled Diffusions, Journal of Econometrics 144 1-26.

  32. Mykland, P.A., and Zhang, L. (2008). Inference for Volatility-Type Objects and Implications for Hedging, Statistics and its Interface 1 255-278.

  33. Jacod, J., Li, Y., Mykland, P.A., Podolskij, M., and Vetter, M. (2009) Microstructure noise in the continuous case: The Pre-Averaging Approach, Stochastic Processes and their Applications 119 2249-2276.

  34. Ait-Sahalia, Y., and Mykland, P.A. (2009). Estimating Volatility in the Presence of Market Microstructure Noise: A Review of the Theory and Practical Considerations, Handbook of Financial Time Series (T.G. Andersen, R.A. Davis, J.-P. Kreiß and Th. Mikosch, eds), 577-598.

  35. Mykland, P.A., and Zhang, L. (2009) Inference for continuous semimartingales observed at high frequency Econometrica 77 (5), 1403-1455.

  36. Mykland, P.A. (2009). Options Pricing Bounds and Statistical Uncertainty: Using Econometrics to Find an Exit Strategy in Derivatives Trading in: Handbook of Financial Econometrics, Ait-Sahalia and Hansen, eds, Chapter 15 (Vol II, p. 135-196).

  37. Lin, Ming, Chen, Rong, and Mykland, P.A. (2010). On generating Monte Carlo sample of continuous diffusion bridges, Journal of the American Statistical Association 105 820-838.

  38. Ait-Sahalia, Y., Mykland, P.A., and Zhang, L. (2011). Ultra high frequency volatility estimation with dependent microstructure noise. Journal of Econometrics 160 160--165.

  39. Zhang, L., Mykland, P.A., and Ait-Sahalia, Y. (2011). Edgeworth expansions for realized volatility and related estimators, Journal of Econometrics 160 190-203. 820-838.

  40. Mykland, P.A,. and Zhang, Z. (2011). The Double Gaussian Approximation for High Frequency Data.. Scandinavian Journal of Statistics.38 215-236.

  41. Jing, Bing-Yi; Kong, Xin-Bing; Liu, Zhi; and Mykland, P.A. (2012). On the jump activity index for semimartingales, Journal of Econometrics 166 213-223.

  42. Lee, Suzanne, and Mykland, P.A. (2012). Jumps in Equilibrium Prices and Market Microstructure Noise, Journal of Econometrics 168 396-406.

  43. Mykland, P.A., and Zhang, L. (2012). The Econometrics of High Frequency Data (in Statistical Methods for Stochastic Differential Equations (M. Kessler, A. Lindner, and M. Sørensen, eds.) p. 109-190.

  44. Mykland, P.A. (2012). A Gaussian Calculus for Inference from High Frequency Data, Annals of Finance 8 235-258.

  45. Wang, Christina D., and Mykland, PA. (2014). The Estimation of Leverage Effect with High Frequency Data, Journal of the American Statistical Association 109 197-215.

  46. Li, Y., Mykland, P.A., Renault, E., Zhang, L., and Zheng, X. (2014). Realized volatility when sampling times are possibly endogenous, Econometric Theory 30(03) 580-605.

  47. Li, Y., and Mykland, P.A. (2015). Rounding errors and volatility estimation, Journal of Financial Econometrics 13(2) 478-504.

  48. Jacod, J., and Mykland, P.A. (2015). Microstructure noise in the continuous case: Approximate efficiency of the adaptive pre-averaging method Stochastic Processes and their Applications 125 2910-2936.

  49. Mykland, P. A., and Ye, J. (2016). Cumulants and Bartlett identities in Cox regression, in The Fascination of Probability, Statistics and their Applications: In Honour of Ole E. Barndorff-Nielsen (Mark Podolskij, Robert Stelzer, Steen Thorbjørnsen, Almut E. D. Veraart, eds.), p. 85-97.

  50. Mykland, P.A., and Zhang, L. (2016). Between Data Cleaning and Inference: Pre-Averaging and Robust Estimators of the Efficient Price. Journal of Econometrics 194 242-262. (Also available open source directly from the journal. Just click on pdf icon on linked page.)

  51. Bibinger, M, and Mykland, P.A. (2016). Inference for Multi-Dimensional High-Frequency Data with an Application to Conditional Independence Testing. Scandinavian Journal of Statistics 43(4) 1078-1102. doi: 10.1111/sjos.12230.

  52. Mykland, P.A., and Zhang, L. (2017). Assessment of Uncertainty in High Frequency Data: The Observed Asymptotic Variance. Econometrica 85(1) 197-231. For connoisseurs: the web supplement. doi:10.3982/ECTA12501.

  53. Potiron, Y. and Mykland, P.A. (2017). Estimation of integrated quadratic covariation with endogenous sampling times. Journal of Econometrics 197(1) 20-41.

  54. Chen, R.Y., and Mykland, P.A. (2017). Model-free Approaches to discern Non-Stationary Market Microstructure Noise and Time-Varying Liquidity in High Frequency Data. Journal of Econometrics 200(1) 79-103.

  55. Mykland, P.A., Zhang, L., and Chen, D. (2018?). The Algebra of Two Scales Estimation, and the S-TSRV: High Frequency Estimation that is Robust to Sampling Times (accepted by Journal of Econometrics.)

  56. Mykland, P.A. (2018?). Combining statistical intervals and market prices: The worst case state price distribution (accepted by Journal of Econometrics).


  1. Mykland, P.A., and Zhang, L. (2005). Discussion of paper ``A selective overview of nonparametric metods in financial econometrics'' by Jianqing Fan Statistical Science 20 347-350.

  2. Ait-Sahalia, Y., Mykland, P.A., and Zhang, L. (2005). Comment on ``Realized variance and market microstructure noise'' by Peter Hansen and Asger Lunde J. Bus. Econ. Statist. 24 162-167.

Submitted, in Revision, etc

  1. Ghysels, E., Mykland, P.A., Renault, E. (2010). In-sample Asymptotics and Across-sample Efficiency Gains for High Frequency Data Statistics.

  2. Mykland, P.A., Shephard, N, and Sheppard, K. (2012). Efficient and feasible inference for the components of financial variation using blocked multipower variation.

  3. Wang, Christina D., Mykland, P.A., and Zhang, L. (2017) Estimating and Forecasting Volatility using Leverage Effect

  4. Chen, D., Mykland, P.A., and Zhang, L. (2018). Five Trolls under the Bridge: Principal Component Analysis with Asynchronous and Noisy High Frequency Data


  1. Mykland, P.A. (1984). Causality in Stochastic Processes (master's thesis, University of Bergen, Norway).

  2. Mykland, P. A. (1986). Statistical causality, Statistical report no. 14, Dept. of Mathematics, University of Bergen.

  3. Mykland, P. A. (1986). Stable subspaces over regular solutions of martingale problems, Statistical report no. 15, Dept. of Mathematics, University of Bergen.

  4. Mykland, P. A. (1989). Edgeworth and Bootstrap Methods for Dependent Variables (Ph. D. thesis, University of California, Berkeley).

  5. Mykland, P.A. (1994). Nonparametric and dual likelihood in survival analysis, Technical report no. 395, Dept. of Statistics, University of Chicago.

  6. Chan, S.-K., and Mykland, P. A. (1994). On first order asymptotic expansions for martingales, Technical report no. 88, Dept. of Biostatistics, University of Wisconsin, Madison.

  7. Mykland, P.A. (1996/98). Options pricing and statistical uncertainty, Technical report no. 430, Department of Statistics, University of Chicago.

Mostly Superseded

  1. Mykland, P.A. (1991). On second order asymptotic expansions for martingales, Technical report no. 322, Dept. of Statistics, University of Chicago (about 75% overlap with TR 364 below).

  2. Mykland, P.A. (1993). Second order asymptotic expansions for martingales, Technical report no. 364, Dept. of Statistics, University of Chicago. (Essentials published in sect. 5-6 of `Embedding and asymptotic expansions for martingales').

  3. Mykland, P.A. (1995). A Note on the Large Deviation Properties of the Signed Square Root of the Likelihood Ratio Statistic, Technical report no. 411, Dept. of Statistics, University of Chicago. (Mostly incorporated into `The accuracy of likelihood').

  4. Mykland, P.A. (1995/96). Large and small deviations of the likelihood ratio statistic, Technical report no. 418, Department of Statistics, University of Chicago (mostly absorbed into `Likelihood computations without Bartlett identities').

  5. Song, S., and Mykland, P.A. (2002). Options and discontinuity: Anasymptotic decomposition of hedging errors, TR 02-07, Department ofStatistics, Purdue University.

The owner of the Web page gratefully acknowledges the following grants from the National Science Foundation: DMS-89-02667, DMS-92-04504, DMS-93-05601, DMS 96-26266, DMS 99-71738, DMS 02-04639, DMS 06-04758, SES 06-31605, SES 11-24526, DMS 14-07812, and DMS 17-13129. Any opinions, findings, and conclusions or recommendations expressed in this material are those of the author(s) and do not necessarily reflect the views of the National Science Foundation.

Last update: as indicated on top of page. Apologies for any inaccuracies. Please let me know of any inaccuracies or problems.

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