BIBLIOGRAPHY
PER ASLAK MYKLAND
August 2017
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Certain unpublished papers, such as "Statistical Causality", are posted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
 Mykland, P.A. (1991). Consulting as a part of statistical
education  some experiences from Chicago (in Norwegian),
Tilfeldig Gang 8, 2628. (Tilfeldig Gang
is the Bulletin of the Norwegian Statist. Assoc.)
 Mykland, P.A. (1992).
Asymptotic expansions and
bootstrappingdistributions for dependent variables: a
martingale approach.
Ann. Statist. 20 623654. (via JSTOR)
 Mykland, P.A. (1993).
Asymptotic expansions for martingales.
Ann. Probab. 21 800818. (via JSTOR)
 Chaudhuri, P., and Mykland, P.A. (1993).
Nonlinear experiments;
optimal design and inference based on likelihood.
J. Amer. Statist. Assoc. 88 538546. (via JSTOR)
 Mykland, P.A. (1994).
Bartlett type identities for martingales.
Ann. Statist. 22, 2138.
 Mykland, P.A., Tierney, L., and Yu, B. (1995).
Regeneration in Markov chain samplers.
J. Amer. Statist. Assoc. 90 233241.
 Mykland, P.A. (1995).
Dual likelihood.
Ann. Statist. 23, 396421.
 Mykland, P.A. (1995).
Martingale Expansions and Second Order
Inference. Ann. Statist. 23, 707731. (via JSTOR)
 Chaudhuri, P., and Mykland, P.A. (1995). On efficient designing
of nonlinear experiments, Statistica Sinica 5, 421440.
 Mykland, P.A. (1995). Embedding and asymptotic expansions
for martingales, Probab. Theory Rel. Fields 103
475492.
 Mykland, P. A., and Ren, J.J. (1996).
Algorithms for
computing selfconsistent and maximum likelihood estimators with
doubly censored data. Ann. Statist. 24 17401764 (via
JSTOR).
 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,
5761.
 Yu, B., and Mykland, P. A. (1998). Looking at Markov samplers
through cusum path plots: a simple diagnostic idea,
Statistics and Computing 8 275286.
 Lazar, N., and Mykland, P. A. (1998).
An evaluation of the power and conditionality properties of empirical
likelihood, Biometrika 85 523534.
 Lazar, N., and Mykland, P. A. (1999).
Empirical likelihood in
the presence of nuisance
parameters, Biometrika 86 203211.
 Mykland, P.A. (1999).
Bartlett identities and large deviations in likelihood theory,
Ann. Statist. 27 11051117 (via
JSTOR).
 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.
 Mykland, P.A. (2000).
Conservative delta hedging
Ann. Appl. Probab. 10 664683
(via
JSTOR).
 Mykland, P.A. (2001).
Likelihood computations without Bartlett identities,
Bernoulli 7 473485.
 Mykland, P.A. (2003).
The interpolation of options,
Finance and Stochastics 7 417432.
 Mykland, P.A. (2003).
Financial options and statistical prediction
intervals, Ann. Statist. 31 14131438.
 AitSahalia, Y., and Mykland, P.A. (2003).
The effects of random and discrete sampling when estimating
continuoustime diffusions,
Econometrica 71 483549.
 AitSahalia, Y., and Mykland, P.A. (2004).
Estimators of diffusions with discrete observations: a general
theory, Ann. Statist. 32 21862222.
 AitSahalia, Y., Mykland, P.A., and Zhang, L. (2005).
How often
to sample a continuoustime process in the presence of market
microstructure noise, Review of Financial Studies
18 351416.
Link to paper at RFS web site
 Hayashi, T., and Mykland, P.A. (2005).
Evaluating
hedging errors: An asymptotic approach,
Mathematical Finance 15 309343.
 Zhang, L., Mykland, P.A., and AitSahalia, Y. (2005).
A tale of two time
scales: Determining integrated volatility with noisy highfrequency
data, J. Amer. Statist. Assoc. 100 13941411.

Mykland, P.A., and Zhang, L. (2006).
ANOVA for diffusions and Ito processes.
Ann. Statist. 34 19311963.
 Song, Seongjoo, and Mykland, P.A. (2006). An Asymptotic
Decomposition of Hedging Errors, Journal of the Korean Statistical
Society, 35 no.2, pp. 115142.
 Li, Y., and Mykland, P.A. (2007).
Are volatility estimators robust with respect to modeling
assumptions,
Bernoulli 13 601622.
 Lee, S., and Mykland, P.A. (2008).
Jumps in Financial Markets: A New
Nonparametric Test and Jump Dynamics,
Review of Financial Studies 21 25352563; doi:10.1093/rfs/hhm056.
 AitSahalia, Y., and Mykland, P.A. (2008).
An Analysis of HansenScheinkman estimators for Randomly Sampled
Diffusions, Journal of Econometrics 144 126.
 Mykland, P.A., and Zhang, L. (2008).
Inference for VolatilityType Objects and Implications for
Hedging, Statistics and its Interface 1 255278.
 Jacod, J., Li, Y., Mykland, P.A., Podolskij, M., and Vetter, M.
(2009)
Microstructure noise in the continuous case: The PreAveraging
Approach, Stochastic Processes and their Applications
119 22492276.
 AitSahalia, 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), 577598.
 Mykland, P.A., and Zhang, L. (2009)
Inference for continuous semimartingales observed at high frequency
Econometrica 77 (5), 14031455.
 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, AitSahalia and Hansen,
eds, Chapter 15 (Vol II, p. 135196).
 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
820838.
 AitSahalia, Y., Mykland, P.A., and Zhang, L. (2011).
Ultra high frequency volatility estimation with dependent microstructure
noise. Journal of Econometrics 160 160165.
 Zhang, L., Mykland, P.A., and AitSahalia, Y. (2011).
Edgeworth expansions
for realized volatility and related estimators,
Journal of Econometrics 160 190203.
820838.
 Mykland, P.A,. and Zhang, Z. (2011). The
Double Gaussian Approximation for High Frequency Data..
Scandinavian Journal of Statistics.38 215236.
 Jing, BingYi; Kong, XinBing; Liu, Zhi; and Mykland, P.A. (2012).
On the jump activity index for semimartingales, Journal of Econometrics 166 213223.
 Lee, Suzanne, and Mykland, P.A. (2012).
Jumps in Equilibrium Prices and Market Microstructure Noise, Journal of Econometrics
168 396406.
 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. 109190.
 Mykland, P.A. (2012).
A Gaussian Calculus for Inference from High Frequency Data,
Annals of Finance 8 235258.
 Wang, Christina D., and Mykland, PA. (2014).
The Estimation of Leverage Effect with High Frequency Data,
Journal of the American Statistical Association 109 197215.
 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) 580605.
 Li, Y., and Mykland, P.A. (2015).
Rounding errors and volatility estimation,
Journal of Financial Econometrics 13(2) 478504.
 Jacod, J., and Mykland, P.A. (2015).
Microstructure noise in the
continuous case: Approximate efficiency of the adaptive preaveraging method Stochastic Processes and
their Applications 125 29102936.
 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. BarndorffNielsen
(Mark Podolskij, Robert Stelzer, Steen Thorbjørnsen, Almut E. D.
Veraart, eds.), p. 8597.
 Mykland, P.A., and Zhang, L. (2016).
Between
Data Cleaning and
Inference: PreAveraging and Robust Estimators of the Efficient
Price.
Journal of Econometrics 194 242262.
(Also available open source directly from the
journal. Just click on pdf icon on linked page.)
 Bibinger, M, and Mykland, P.A. (2016).
Inference
for MultiDimensional HighFrequency Data
with an Application to Conditional Independence
Testing. Scandinavian Journal of Statistics
43(4) 10781102. doi: 10.1111/sjos.12230.
 Mykland, P.A., and Zhang, L. (2017).
Assessment of Uncertainty
in High Frequency Data: The Observed Asymptotic Variance.
Econometrica 85(1) 197231. For connoisseurs: the
web supplement.
doi:10.3982/ECTA12501.
 Potiron, Y. and Mykland, P.A. (2017).
Estimation of integrated quadratic covariation with endogenous sampling
times. Journal of Econometrics 197(1) 2041.
 Chen, R.Y., and Mykland, P.A. (2017).
Discerning NonStationary Market Microstructure Noise and TimeVarying
Liquidity in High Frequency Data (to appear in Journal of
Econometrics).
Discussions
 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 347350.
 AitSahalia, 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 162167.
Submitted, in Revision, etc
 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.
 Ghysels, E., Mykland, P.A., Renault, E. (2010).
Insample Asymptotics and Acrosssample Efficiency Gains for High
Frequency Data Statistics.
 Mykland, P.A., Shephard, N, and Sheppard, K. (2012).
Efficient and feasible inference for the components of financial variation using blocked multipower variation.
 Mykland, P.A., Zhang, L., and Chen, D. (2017).
The Algebra of Two Scales Estimation, and the STSRV:
High Frequency Estimation that is Robust to Sampling Times
(in revision for Journal of Econometrics).
Other
 Mykland, P.A. (1984). Causality in Stochastic Processes
(master's thesis, University of Bergen, Norway).
 Mykland, P. A. (1986).
Statistical
causality, Statistical report no. 14, Dept. of
Mathematics, University of Bergen.
 Mykland, P. A. (1986).
Stable subspaces over regular solutions of martingale
problems, Statistical report no. 15, Dept. of
Mathematics, University of Bergen.
 Mykland, P. A. (1989).
Edgeworth and Bootstrap Methods for Dependent Variables
(Ph. D. thesis, University of California, Berkeley).
 Mykland, P.A. (1994).
Nonparametric and dual likelihood in
survival analysis, Technical report no. 395,
Dept. of Statistics, University of Chicago.
 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.
 Mykland, P.A. (1996/98).
Options pricing and statistical
uncertainty,
Technical report no. 430,
Department of Statistics, University of Chicago.
Mostly Superseded
 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).
 Mykland, P.A. (1993). Second order asymptotic expansions
for martingales, Technical report no.
364, Dept. of Statistics, University of Chicago. (Essentials
published in sect. 56 of `Embedding and asymptotic expansions
for martingales').
 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').
 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').
 Song, S., and Mykland, P.A. (2002). Options and
discontinuity: Anasymptotic decomposition of hedging errors, TR 0207,
Department ofStatistics, Purdue University.
The owner of the Web page gratefully acknowledges the following grants
from the National Science Foundation: DMS8902667, DMS9204504,
DMS9305601, DMS 9626266, DMS 9971738, DMS 0204639,
DMS 0604758, SES 0631605, SES 1124526, DMS 1407812,
and DMS 1713129. 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.
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