BIBLIOGRAPHY

PER ASLAK MYKLAND

December 2007



Per's CV, including a full list of publications (p. 9-11)


We are in the process of building up links to the actual papers, either via JSTOR, or directly from files submitted by the author(s). In the latter case, note that inaccuracies may have been corrected in the final printed form. For recent (pre-acceptance) manuscripts, please contact the author(s).


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. (via JSTOR)

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

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

  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. (2007). Jumps in Financial Markets: A New Nonparametric Test and Jump Dynamics, to appear in Review of Financial Studies.

  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 (to appear).

  33. Ait-Sahalia, Y., and Mykland, P.A. (2008?). Estimating Volatility in the Presence of Market Microstructure Noise: A Review of the Theory and Practical Considerations, Handbook of Financial Time Series (T. Andersen, R. Davis, and T. Mikosch, eds) (to appear).



Discussions


  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. Mykland, P.A. (2001). Options pricing bounds and statistical uncertainty. Technical report no. 511, Department of Statistics, University of Chicago (submitted to Handbook of Financial Econometrics, Ait-Sahalia and Hansen, eds).

  2. Mykland, P.A. (2005). Combining statistical intervals and market prices: The worst case state price distribution. TR 553, Dept of Statistics, The Univ. of Chicago.

  3. Ait-Sahalia, Y., Mykland, P.A., and Zhang, L. (2005). Ultra high frequency volatility estimation with dependent microstructure noise. TR 554, Dept of Statistics, The Univ. of Chicago.

  4. Zhang, L., Mykland, P.A., and Ait-Sahalia, Y. (2005). Edgeworth expansions for realized volatility and related estimators, TR 556, Dept of Statistics, The Univ. of Chicago.

  5. Mykland, P.A. (2006). A Gaussian Calculus for Inference from High Frequency Data, TR 563, Dept of Statistics, The Univ. of Chicago.

  6. Li, Y., and Mykland, P.A. (2006). Determining the Volatility of a Price Process in the Presence of Rounding Error, TR 573, Dept of Statistics, The Univ. of Chicago.

  7. Mykland, P.A., and Zhang, L. (2007) Inference for continuous semimartingales observed at high frequency: A general approach.

  8. Jacod, J., Li, Y., Mykland, P.A., Podolskij, M., and Vetter, M. (2007) Microstructure noise in the continuous case: The Pre-Averaging Approach.



Other


  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., and Ye, J. (1992). Cumulants and Bartlett identities in Cox regression, Technical report no. 332, Dept. of Statistics, University of Chicago.

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

  7. 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.

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

  9. Mykland, P.A., and Zhang, L. (2001). Inference for volatility-type objects and implications for hedging. Technical report no. 506, 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, and SES 06-31605. 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 report to me any inaccuracies or problems.

Go to Faculty Research Interests

Go to PM's Research Interests

Go to PM's home page