ProfessorsProfessors of University of ChicagoPer Mykland

Per Mykland

University of Chicago

H-index: 36

North America-United States

About Per Mykland

Per Mykland, With an exceptional h-index of 36 and a recent h-index of 20 (since 2020), a distinguished researcher at University of Chicago, specializes in the field of Statistics, Finance, Large and High Frequency Data.

His recent articles reflect a diverse array of research interests and contributions to the field:

Realized regression with asynchronous and noisy high frequency and high dimensional data

In-sample asymptotics and across-sample efficiency gains for high frequency data statistics

CURRICULUM VITAE PER ASLAK MYKLAND April 2023 Department of Statistics mykland@ pascal. uchicago. edu University of Chicago http://stat. uchicago. edu/∼ mykland

A CLT for second difference estimators with an application to volatility and intensity

High Dimensional Beta Test with High Frequency Data

The Observed Asymptotic Variance: Hard edges, and a regression approach

Local parametric estimation in high frequency data

The five trolls under the bridge: Principal component analysis with asynchronous and noisy high frequency data

Per Mykland Information

University	University of Chicago
Position	Robert M. Hutchins Professor of Statistics and Finance The
Citations(all)	9895
Citations(since 2020)	2664
Cited By	8482
hIndex(all)	36
hIndex(since 2020)	20
i10Index(all)	64
i10Index(since 2020)	41
Email	Access Email
University Profile Page	University of Chicago
Google Scholar	View Google Scholar Profile

Per Mykland Skills & Research Interests

Statistics

Finance

Large and High Frequency Data

Top articles of Per Mykland

Title	Journal	Author(s)	Publication Date
Realized regression with asynchronous and noisy high frequency and high dimensional data	Journal of Econometrics	Dachuan Chen Per A Mykland Lan Zhang	2024/2/1
In-sample asymptotics and across-sample efficiency gains for high frequency data statistics	Econometric Theory	Eric Ghysels Per Mykland Eric Renault	2023/2
CURRICULUM VITAE PER ASLAK MYKLAND April 2023 Department of Statistics mykland@ pascal. uchicago. edu University of Chicago http://stat. uchicago. edu/∼ mykland		PER ASLAK MYKLAND	2023/4
A CLT for second difference estimators with an application to volatility and intensity	The Annals of Statistics	Emil A Stoltenberg Per A Mykland Lan Zhang	2022/8
High Dimensional Beta Test with High Frequency Data	Available at SSRN 4139323	Dachuan Chen Long Feng Per A Mykland Lan Zhang	2022/6/16
The Observed Asymptotic Variance: Hard edges, and a regression approach	Journal of econometrics	Per A Mykland Lan Zhang	2021/5/1
Local parametric estimation in high frequency data	Journal of Business & Economic Statistics	Yoann Potiron Per Mykland	2020/7/2
The five trolls under the bridge: Principal component analysis with asynchronous and noisy high frequency data	Journal of the American Statistical Association	Dachuan Chen Per A Mykland Lan Zhang	2020/12/11