| A tale of two time scales: Determining integrated volatility with noisy high-frequency data L Zhang, PA Mykland, Y Aït-Sahalia Journal of the American Statistical Association 100 (472), 1394-1411, 2005 | 2385 | 2005 |
| How often to sample a continuous-time process in the presence of market microstructure noise Y Ait-Sahalia, PA Mykland, L Zhang The review of financial studies 18 (2), 351-416, 2005 | 1190 | 2005 |
| Jumps in financial markets: A new nonparametric test and jump dynamics SS Lee, PA Mykland The Review of Financial Studies 21 (6), 2535-2563, 2008 | 1174 | 2008 |
| Microstructure noise in the continuous case: the pre-averaging approach J Jacod, Y Li, PA Mykland, M Podolskij, M Vetter Stochastic processes and their applications 119 (7), 2249-2276, 2009 | 833 | 2009 |
| Ultra high frequency volatility estimation with dependent microstructure noise Y Aït-Sahalia, PA Mykland, L Zhang Journal of Econometrics 160 (1), 160-175, 2011 | 562* | 2011 |
| Regeneration in Markov chain samplers P Mykland, L Tierney, B Yu Journal of the American Statistical Association 90 (429), 233-241, 1995 | 341 | 1995 |
| ANOVA for diffusions and Ito processes PA Mykland, L Zhang | 267 | 2006 |
| Inference for continuous semimartingales observed at high frequency PA Mykland, L Zhang Econometrica 77 (5), 1403-1445, 2009 | 245 | 2009 |
| Looking at Markov samplers through cusum path plots: a simple diagnostic idea B Yu, P Mykland Statistics and Computing 8, 275-286, 1998 | 235 | 1998 |
| The effects of random and discrete sampling when estimating continuous–time diffusions Y Aït–Sahalia, PA Mykland Econometrica 71 (2), 483-549, 2003 | 193 | 2003 |
| Nonlinear experiments: Optimal design and inference based on likelihood P Chaudhuri, PA Mykland Journal of the American Statistical Association 88 (422), 538-546, 1993 | 153 | 1993 |
| The econometrics of high frequency data PA Mykland, L Zhang Statistical methods for stochastic differential equations 124, 109, 2012 | 117 | 2012 |
| Evaluating hedging errors: an asymptotic approach T Hayashi, PA Mykland Mathematical Finance: An International Journal of Mathematics, Statistics …, 2005 | 117 | 2005 |
| The estimation of leverage effect with high-frequency data CD Wang, PA Mykland Journal of the American Statistical Association 109 (505), 197-215, 2014 | 115 | 2014 |
| Jumps in equilibrium prices and market microstructure noise SS Lee, PA Mykland Journal of Econometrics 168 (2), 396-406, 2012 | 113 | 2012 |
| Dual likelihood PA Mykland The Annals of Statistics, 396-421, 1995 | 110 | 1995 |
| Are volatility estimators robust with respect to modeling assumptions? Y Li, PA Mykland | 109 | 2007 |
| Realized volatility when sampling times are possibly endogenous Y Li, PA Mykland, E Renault, L Zhang, X Zheng Econometric theory 30 (3), 580-605, 2014 | 107 | 2014 |
| Algorithms for computing self-consistent and maximum likelihood estimators with doubly censored data PA Mykland, JJ Ren The Annals of Statistics, 1740-1764, 1996 | 98 | 1996 |
| Estimators of diffusions with randomly spaced discrete observations: A general theory Y Aït-Sahalia, PA Mykland | 95 | 2004 |
Lan ZhangProfessor of Finance, University of Illinois at ChicagoVerified email at uic.edu
