Kim Christensen : Citation Profile


Are you Kim Christensen?

Aarhus Universitet

9

H index

9

i10 index

426

Citations

RESEARCH PRODUCTION:

7

Articles

11

Papers

RESEARCH ACTIVITY:

   10 years (2005 - 2015). See details.
   Cites by year: 42
   Journals where Kim Christensen has often published
   Relations with other researchers
   Recent citing documents: 116.    Total self citations: 9 (2.07 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pch745
   Updated: 2020-08-09    RAS profile: 2015-12-15    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers


Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Kim Christensen.

Is cited by:

Shephard, Neil (20)

Caporin, Massimiliano (20)

Sheppard, Kevin (12)

Patton, Andrew (12)

Podolskij, Mark (11)

Hansen, Peter (10)

Santucci de Magistris, Paolo (10)

Voev, Valeri (9)

Andersen, Torben (8)

van Dijk, Dick (7)

Rossi, Eduardo (7)

Cites to:

Podolskij, Mark (21)

Shephard, Neil (18)

Bollerslev, Tim (17)

Andersen, Torben (17)

Diebold, Francis (17)

Barndorff-Nielsen, Ole (15)

Lunde, Asger (9)

Renault, Eric (9)

Hansen, Peter (8)

Ghysels, Eric (8)

Harvey, Andrew (7)

Main data


Where Kim Christensen has published?


Journals with more than one article published# docs
Journal of Econometrics3

Working Papers Series with more than one paper published# docs
Technical Reports / Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen3
Post-Print / HAL2

Recent works citing Kim Christensen (2018 and 2017)


YearTitle of citing document
2017Inference from the futures: ranking the noise cancelling accuracy of realized measures. (2017). Mirone, Giorgio. In: CREATES Research Papers. RePEc:aah:create:2017-24.

Full description at Econpapers || Download paper

2017Decoupling the short- and long-term behavior of stochastic volatility. (2017). Pakkanen, Mikko S ; Lunde, Asger ; Bennedsen, Mikkel. In: CREATES Research Papers. RePEc:aah:create:2017-26.

Full description at Econpapers || Download paper

2017Is the diurnal pattern sufficient to explain the intraday variation in volatility? A nonparametric assessment. (2017). Podolskij, Mark ; Hounyo, Ulrich ; Christensen, Kim. In: CREATES Research Papers. RePEc:aah:create:2017-30.

Full description at Econpapers || Download paper

2018Cross-sectional noise reduction and more efficient estimation of Integrated Variance. (2018). Mirone, Giorgio. In: CREATES Research Papers. RePEc:aah:create:2018-18.

Full description at Econpapers || Download paper

2018Realizing Correlations Across Asset Classes. (2018). Vander Elst, Harry ; Olesen, Kasper V ; Lunde, Asger ; Gronborg, Niels S. In: CREATES Research Papers. RePEc:aah:create:2018-37.

Full description at Econpapers || Download paper

2019The Economic Value of VIX ETPs. (2019). Christiansen, Charlotte ; Posselt, Anders M ; Christensen, Kim. In: CREATES Research Papers. RePEc:aah:create:2019-14.

Full description at Econpapers || Download paper

2018Local Parametric Estimation in High Frequency Data. (2018). Potiron, Yoann. In: Papers. RePEc:arx:papers:1603.05700.

Full description at Econpapers || Download paper

2017Decoupling the short- and long-term behavior of stochastic volatility. (2017). Bennedsen, Mikkel ; Pakkanen, Mikko S ; Lunde, Asger. In: Papers. RePEc:arx:papers:1610.00332.

Full description at Econpapers || Download paper

2020Interconnectedness in the Global Financial Market. (2017). Raddant, Matthias ; Kenett, Dror Y. In: Papers. RePEc:arx:papers:1704.01028.

Full description at Econpapers || Download paper

2017High-Frequency Jump Analysis of the Bitcoin Market. (2017). Scaillet, Olivier ; Trevisan, Christopher ; Treccani, Adrien . In: Papers. RePEc:arx:papers:1704.08175.

Full description at Econpapers || Download paper

2020Realized volatility and parametric estimation of Heston SDEs. (2017). Timofeyev, Ilya ; Ren, Peng ; Azencott, Robert . In: Papers. RePEc:arx:papers:1706.04566.

Full description at Econpapers || Download paper

2018Pathwise large deviations for the Rough Bergomi model. (2018). Jacquier, Antoine ; Stone, Henry ; Pakkanen, Mikko S. In: Papers. RePEc:arx:papers:1706.05291.

Full description at Econpapers || Download paper

2017Bayesian Realized-GARCH Models for Financial Tail Risk Forecasting Incorporating Two-sided Weibull Distribution. (2017). Gerlach, Richard ; Chen, Qian ; Wang, Chao. In: Papers. RePEc:arx:papers:1707.03715.

Full description at Econpapers || Download paper

2020Multi-scale analysis of lead-lag relationships in high-frequency financial markets. (2018). Koike, Yuta ; Hayashi, Takaki. In: Papers. RePEc:arx:papers:1708.03992.

Full description at Econpapers || Download paper

2017Semiparametric GARCH via Bayesian model averaging. (2017). Gerlach, Richard H ; Ye, Wilson . In: Papers. RePEc:arx:papers:1708.07587.

Full description at Econpapers || Download paper

2018Semi-parametric Dynamic Asymmetric Laplace Models for Tail Risk Forecasting, Incorporating Realized Measures. (2018). Wang, Chao ; Gerlach, Richard. In: Papers. RePEc:arx:papers:1805.08653.

Full description at Econpapers || Download paper

2018A Semi-parametric Realized Joint Value-at-Risk and Expected Shortfall Regression Framework. (2018). Chen, Qian ; Gerlach, Richard ; Wang, Chao. In: Papers. RePEc:arx:papers:1807.02422.

Full description at Econpapers || Download paper

2019Inference for Volatility Functionals of Multivariate It\^o Semimartingales Observed with Jump and Noise. (2019). Chen, Richard Y. In: Papers. RePEc:arx:papers:1810.04725.

Full description at Econpapers || Download paper

2020Hierarchical adaptive sparse grids and quasi Monte Carlo for option pricing under the rough Bergomi model. (2019). Tempone, Raul ; ben Hammouda, Chiheb ; Bayer, Christian. In: Papers. RePEc:arx:papers:1812.08533.

Full description at Econpapers || Download paper

2019The Arrival of News and Return Jumps in Stock Markets: A Nonparametric Approach. (2019). Yue, YE ; Kanniainen, Juho. In: Papers. RePEc:arx:papers:1901.02691.

Full description at Econpapers || Download paper

2019Feature Engineering for Mid-Price Prediction with Deep Learning. (2019). Iosifidis, Alexandros ; Gabbouj, Moncef ; Kanniainen, Juho ; Mirone, Giorgio ; Ntakaris, Adamantios. In: Papers. RePEc:arx:papers:1904.05384.

Full description at Econpapers || Download paper

2019Semi-parametric Realized Nonlinear Conditional Autoregressive Expectile and Expected Shortfall. (2019). Gerlach, Richard ; Wang, Chao. In: Papers. RePEc:arx:papers:1906.09961.

Full description at Econpapers || Download paper

2019Large Volatility Matrix Prediction with High-Frequency Data. (2019). Song, Xinyu. In: Papers. RePEc:arx:papers:1907.01196.

Full description at Econpapers || Download paper

2019Bayesian Inference on Volatility in the Presence of Infinite Jump Activity and Microstructure Noise. (2019). Kuffner, Todd ; Jos'e E. Figueroa-L'opez, ; Wang, QI. In: Papers. RePEc:arx:papers:1909.04853.

Full description at Econpapers || Download paper

2019Stochastic leverage effect in high-frequency data: a Fourier based analysis. (2019). Sanfelici, Simona ; Curato, Imma Valentina. In: Papers. RePEc:arx:papers:1910.06660.

Full description at Econpapers || Download paper

2019Predicting intraday jumps in stock prices using liquidity measures and technical indicators. (2019). Azencott, Robert ; Zhu, Hongliang ; Kong, AO. In: Papers. RePEc:arx:papers:1912.07165.

Full description at Econpapers || Download paper

2020Forecasting Realized Volatility Matrix With Copula-Based Models. (2020). Tao, Minjing ; Wang, Wenjing. In: Papers. RePEc:arx:papers:2002.08849.

Full description at Econpapers || Download paper

2020Streaming Perspective in Quadratic Covariation Estimation Using Financial Ultra-High-Frequency Data. (2020). Tomanov, Petra ; Hol, Vladim'Ir. In: Papers. RePEc:arx:papers:2003.13062.

Full description at Econpapers || Download paper

2020A dynamic conditional approach to portfolio weights forecasting. (2020). Palandri, Alessandro ; Gallo, Giampiero M ; Cipollini, Fabrizio. In: Papers. RePEc:arx:papers:2004.12400.

Full description at Econpapers || Download paper

2020Unified Discrete-Time Factor Stochastic Volatility and Continuous-Time Ito Models for Combining Inference Based on Low-Frequency and High-Frequency. (2020). Wang, Yazhen ; Song, Xinyu ; Kim, Donggyu. In: Papers. RePEc:arx:papers:2006.12039.

Full description at Econpapers || Download paper

2018TRADER TYPE EFFECTS ON THE VOLATILITY‐VOLUME RELATIONSHIP EVIDENCE FROM THE KOSPI 200 INDEX FUTURES MARKET. (2018). Kartsaklas, Aris. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:70:y:2018:i:3:p:226-250.

Full description at Econpapers || Download paper

2017High Frequency vs. Daily Resolution: the Economic Value of Forecasting Volatility Models - 2nd ed. (2017). Lilla, F. In: Working Papers. RePEc:bol:bodewp:wp1099.

Full description at Econpapers || Download paper

2017Testing for Extreme Volatility Transmission with Realized Volatility Measures. (2017). Tokpavi, Sessi ; Dumitrescu, Elena Ivona ; DE TRUCHIS, Gilles ; Boucher, Christophe. In: EconomiX Working Papers. RePEc:drm:wpaper:2017-20.

Full description at Econpapers || Download paper

2019On a spiked model for large volatility matrix estimation from noisy high-frequency data. (2019). Shen, Keren ; Li, Wai Keung ; Yao, Jianfeng. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:131:y:2019:i:c:p:207-221.

Full description at Econpapers || Download paper

2019Cojumps and asset allocation in international equity markets. (2019). Arouri, Mohamed ; Pukthuanthong, Kuntara ; Nguyen, Duc Khuong ; Msaddek, Oussama. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:98:y:2019:i:c:p:1-22.

Full description at Econpapers || Download paper

2017Forecasting the realized range-based volatility using dynamic model averaging approach. (2017). , ; Wei, YU ; Liu, Jing ; Ma, Feng. In: Economic Modelling. RePEc:eee:ecmode:v:61:y:2017:i:c:p:12-26.

Full description at Econpapers || Download paper

2017A conditional autoregressive range model with gamma distribution for financial volatility modelling. (2017). Xie, Haibin ; Wu, Xinyu. In: Economic Modelling. RePEc:eee:ecmode:v:64:y:2017:i:c:p:349-356.

Full description at Econpapers || Download paper

2017Forecasting the oil futures price volatility: A new approach. (2017). Ma, Feng ; Chen, Wang ; Huang, Dengshi ; Liu, Jing. In: Economic Modelling. RePEc:eee:ecmode:v:64:y:2017:i:c:p:560-566.

Full description at Econpapers || Download paper

2019Modeling and forecasting return jumps using realized variation measures. (2019). Liu, YI ; Zhang, Lei. In: Economic Modelling. RePEc:eee:ecmode:v:76:y:2019:i:c:p:63-80.

Full description at Econpapers || Download paper

2018Estimation of spot volatility with superposed noisy data. (2018). Liu, Qiang ; Wang, LI. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:44:y:2018:i:c:p:62-79.

Full description at Econpapers || Download paper

2018Are low-frequency data really uninformative? A forecasting combination perspective. (2018). Ma, Feng ; Zhang, Yaojie ; Liu, LI. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:44:y:2018:i:c:p:92-108.

Full description at Econpapers || Download paper

2019Quantile range-based volatility measure for modelling and forecasting volatility using high frequency data. (2019). Mohamed, Ibrahim ; Chan, Jennifer So-Kuen ; Ng, Kok-Haur ; Tan, Shay-Kee. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:47:y:2019:i:c:p:537-551.

Full description at Econpapers || Download paper

2017Positive semidefinite integrated covariance estimation, factorizations and asynchronicity. (2017). Quaedvlieg, Rogier ; Laurent, Sébastien ; Lunde, Asger ; Boudt, Kris ; Sauri, Orimar . In: Journal of Econometrics. RePEc:eee:econom:v:196:y:2017:i:2:p:347-367.

Full description at Econpapers || Download paper

2017Bootstrapping integrated covariance matrix estimators in noisy jump–diffusion models with non-synchronous trading. (2017). Hounyo, Ulrich. In: Journal of Econometrics. RePEc:eee:econom:v:197:y:2017:i:1:p:130-152.

Full description at Econpapers || Download paper

2017Estimation of integrated quadratic covariation with endogenous sampling times. (2017). Potiron, Yoann ; Mykland, Per A. In: Journal of Econometrics. RePEc:eee:econom:v:197:y:2017:i:1:p:20-41.

Full description at Econpapers || Download paper

2017Inference from high-frequency data: A subsampling approach. (2017). Veliyev, Bezirgen ; Thamrongrat, N ; Podolskij, M ; Christensen, K. In: Journal of Econometrics. RePEc:eee:econom:v:197:y:2017:i:2:p:245-272.

Full description at Econpapers || Download paper

2017Chasing volatility. (2017). Rossi, Eduardo ; Caporin, Massimiliano ; de Magistris, Paolo Santucci. In: Journal of Econometrics. RePEc:eee:econom:v:198:y:2017:i:1:p:122-145.

Full description at Econpapers || Download paper

2017Econometric analysis of multivariate realised QML: Estimation of the covariation of equity prices under asynchronous trading. (2017). Shephard, Neil ; Xiu, Dacheng. In: Journal of Econometrics. RePEc:eee:econom:v:201:y:2017:i:1:p:19-42.

Full description at Econpapers || Download paper

2017Using principal component analysis to estimate a high dimensional factor model with high-frequency data. (2017). Ait-Sahalia, Yacine ; Xiu, Dacheng. In: Journal of Econometrics. RePEc:eee:econom:v:201:y:2017:i:2:p:384-399.

Full description at Econpapers || Download paper

2018Two-stage stationary bootstrapping for bivariate average realized volatility matrix under market microstructure noise and asynchronicity. (2018). Hwang, Eunju ; Shin, Dong Wan. In: Journal of Econometrics. RePEc:eee:econom:v:202:y:2018:i:2:p:178-195.

Full description at Econpapers || Download paper

2018Adaptive thresholding for large volatility matrix estimation based on high-frequency financial data. (2018). Kim, Donggyu ; Wang, Yazhen ; Li, Cui-Xia ; Kong, Xin-Bing. In: Journal of Econometrics. RePEc:eee:econom:v:203:y:2018:i:1:p:69-79.

Full description at Econpapers || Download paper

2018A unified approach to volatility estimation in the presence of both rounding and random market microstructure noise. (2018). Li, Yingying ; Zhang, Zhiyuan. In: Journal of Econometrics. RePEc:eee:econom:v:203:y:2018:i:2:p:187-222.

Full description at Econpapers || Download paper

2018Estimating the integrated volatility using high-frequency data with zero durations. (2018). Liu, Zhi ; Jing, Bing-Yi ; Kong, Xin-Bing. In: Journal of Econometrics. RePEc:eee:econom:v:204:y:2018:i:1:p:18-32.

Full description at Econpapers || Download paper

2018A nonparametric eigenvalue-regularized integrated covariance matrix estimator for asset return data. (2018). Lam, Clifford ; Feng, Phoenix. In: Journal of Econometrics. RePEc:eee:econom:v:206:y:2018:i:1:p:226-257.

Full description at Econpapers || Download paper

2018Modeling and forecasting (un)reliable realized covariances for more reliable financial decisions. (2018). Quaedvlieg, Rogier ; Patton, Andrew J ; Bollerslev, Tim. In: Journal of Econometrics. RePEc:eee:econom:v:207:y:2018:i:1:p:71-91.

Full description at Econpapers || Download paper

2019The algebra of two scales estimation, and the S-TSRV: High frequency estimation that is robust to sampling times. (2019). Mykland, Per A ; Chen, Dachuan ; Zhang, Lan. In: Journal of Econometrics. RePEc:eee:econom:v:208:y:2019:i:1:p:101-119.

Full description at Econpapers || Download paper

2019Large-dimensional factor modeling based on high-frequency observations. (2019). Pelger, Markus. In: Journal of Econometrics. RePEc:eee:econom:v:208:y:2019:i:1:p:23-42.

Full description at Econpapers || Download paper

2019Knowing factors or factor loadings, or neither? Evaluating estimators of large covariance matrices with noisy and asynchronous data. (2019). Dai, Chaoxing ; Xiu, Dacheng ; Lu, Kun. In: Journal of Econometrics. RePEc:eee:econom:v:208:y:2019:i:1:p:43-79.

Full description at Econpapers || Download paper

2019Estimating the integrated volatility with tick observations. (2019). Jacod, Jean ; Zheng, Xinghua ; Li, Yingying. In: Journal of Econometrics. RePEc:eee:econom:v:208:y:2019:i:1:p:80-100.

Full description at Econpapers || Download paper

2019Factor GARCH-ItĂŽ models for high-frequency data with application to large volatility matrix prediction. (2019). Fan, Jianqing ; Kim, Donggyu. In: Journal of Econometrics. RePEc:eee:econom:v:208:y:2019:i:2:p:395-417.

Full description at Econpapers || Download paper

2019Structured volatility matrix estimation for non-synchronized high-frequency financial data. (2019). Kim, Donggyu ; Fan, Jianqing. In: Journal of Econometrics. RePEc:eee:econom:v:209:y:2019:i:1:p:61-78.

Full description at Econpapers || Download paper

2019Estimation of the discontinuous leverage effect: Evidence from the NASDAQ order book. (2019). Winkelmann, Lars ; Neely, Christopher ; Bibinger, Markus. In: Journal of Econometrics. RePEc:eee:econom:v:209:y:2019:i:2:p:158-184.

Full description at Econpapers || Download paper

2019A rank test for the number of factors with high-frequency data. (2019). Liu, Zhi ; Kong, Xin-Bing ; Zhou, Wang. In: Journal of Econometrics. RePEc:eee:econom:v:211:y:2019:i:2:p:439-460.

Full description at Econpapers || Download paper

2019High-dimensional multivariate realized volatility estimation. (2019). Bollerslev, Tim ; Meddahi, Nour ; Nyawa, Serge. In: Journal of Econometrics. RePEc:eee:econom:v:212:y:2019:i:1:p:116-136.

Full description at Econpapers || Download paper

2019The realized empirical distribution function of stochastic variance with application to goodness-of-fit testing. (2019). Veliyev, Bezirgen ; Thyrsgaard, Martin ; Christensen, Kim. In: Journal of Econometrics. RePEc:eee:econom:v:212:y:2019:i:2:p:556-583.

Full description at Econpapers || Download paper

2020Dependent microstructure noise and integrated volatility estimation from high-frequency data. (2020). Laeven, Roger ; Vellekoop, Michel H ; Li, Merrick Z. In: Journal of Econometrics. RePEc:eee:econom:v:215:y:2020:i:2:p:536-558.

Full description at Econpapers || Download paper

2019Mixed interval realized variance: A robust estimator of stock price volatility. (2019). Vasnev, Andrey ; Sutton, Maxwell ; Gerlach, Richard. In: Econometrics and Statistics. RePEc:eee:ecosta:v:11:y:2019:i:c:p:43-62.

Full description at Econpapers || Download paper

2018Forecasting oil futures price volatility: New evidence from realized range-based volatility. (2018). Ma, Feng ; Lai, Xiaodong ; Huang, Dengshi ; Zhang, Yaojie. In: Energy Economics. RePEc:eee:eneeco:v:75:y:2018:i:c:p:400-409.

Full description at Econpapers || Download paper

2020Non-parametric quantile dependencies between volatility discontinuities and political risk. (2020). Vasiliadis, Lavrentios ; Vortelinos, Dimitrios ; Boako, Gideon ; Gkillas, Konstantinos. In: Finance Research Letters. RePEc:eee:finlet:v:32:y:2020:i:c:s1544612318303829.

Full description at Econpapers || Download paper

2020Semi-parametric dynamic asymmetric Laplace models for tail risk forecasting, incorporating realized measures. (2020). Wang, Chao ; Gerlach, Richard. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:2:p:489-506.

Full description at Econpapers || Download paper

2018Jumps, cojumps, and efficiency in the spot foreign exchange market. (2018). Piccotti, Louis R. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:87:y:2018:i:c:p:49-67.

Full description at Econpapers || Download paper

2019Testing for cojumps in high-frequency financial data: An approach based on first-high-low-last prices. (2019). Anderson, Heather ; Liao, Yin. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:99:y:2019:i:c:p:252-274.

Full description at Econpapers || Download paper

2017Information Shocks and Short-Term Market Underreaction. (2017). Jiang, George J ; Zhu, Kevin X. In: Journal of Financial Economics. RePEc:eee:jfinec:v:124:y:2017:i:1:p:43-64.

Full description at Econpapers || Download paper

2017Systemic co-jumps. (2017). Caporin, Massimiliano ; Reno, Roberto ; Kolokolov, Aleksey. In: Journal of Financial Economics. RePEc:eee:jfinec:v:126:y:2017:i:3:p:563-591.

Full description at Econpapers || Download paper

2017Economic evaluation of asymmetric and price range information in gold and general financial markets. (2017). Wu, Chih-Chiang ; Chiu, Junmao. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:74:y:2017:i:c:p:53-68.

Full description at Econpapers || Download paper

2018Structural changes and out-of-sample prediction of realized range-based variance in the stock market. (2018). Lin, Boqiang ; Gong, XU. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:494:y:2018:i:c:p:27-39.

Full description at Econpapers || Download paper

2019Liquidity and realized range-based volatility forecasting: Evidence from China. (2019). Ma, Feng ; Huang, Dengshi ; Xu, Yanyan ; Qiao, Gaoxiu. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:525:y:2019:i:c:p:1102-1113.

Full description at Econpapers || Download paper

2017The one-trading-day-ahead forecast errors of intra-day realized volatility. (2017). Degiannakis, Stavros. In: Research in International Business and Finance. RePEc:eee:riibaf:v:42:y:2017:i:c:p:1298-1314.

Full description at Econpapers || Download paper

2018Estimating spot volatility in the presence of infinite variation jumps. (2018). Liu, Qiang. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:128:y:2018:i:6:p:1958-1987.

Full description at Econpapers || Download paper

2017Execution in an aggregator. (2017). Oomen, Roel. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:67454.

Full description at Econpapers || Download paper

2019The Contribution of Jump Signs and Activity to Forecasting Stock Price Volatility. (2019). Tsionas, Mike ; Murphy, Anthony ; Izzeldin, Marwan ; Hizmeri, Rodrigo. In: Working Papers. RePEc:fip:feddwp:1902.

Full description at Econpapers || Download paper

2017Measuring Transaction Costs in the Absence of Timestamps. (2017). Zikes, Filip. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2017-45.

Full description at Econpapers || Download paper

2017Estimation of the discontinuous leverage effect: Evidence from the NASDAQ order book. (2017). Neely, Christopher ; Winkelmann, Lars ; Bibinger, Markus. In: Working Papers. RePEc:fip:fedlwp:2017-012.

Full description at Econpapers || Download paper

2017Business Time Sampling Scheme with Applications to Testing Semi-Martingale Hypothesis and Estimating Integrated Volatility. (2017). Dong, Yingjie ; Tse, Yiu-Kuen. In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:4:p:51-:d:118613.

Full description at Econpapers || Download paper

2019Fixed and Long Time Span Jump Tests: New Monte Carlo and Empirical Evidence. (2019). Swanson, Norman ; Cheng, Mingmian. In: Econometrics. RePEc:gam:jecnmx:v:7:y:2019:i:1:p:13-:d:213518.

Full description at Econpapers || Download paper

2020New Evidence of the Marginal Predictive Content of Small and Large Jumps in the Cross-Section. (2020). Swanson, Norman R ; Mizrach, Bruce ; Yu, BO. In: Econometrics. RePEc:gam:jecnmx:v:8:y:2020:i:2:p:19-:d:360192.

Full description at Econpapers || Download paper

2018Volatility Is Log-Normal—But Not for the Reason You Think. (2018). Tegner, Martin ; Poulsen, Rolf. In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:2:p:46-:d:143022.

Full description at Econpapers || Download paper

2017The contribution of jumps to forecasting the density of returns. (2017). Sévi, Benoßt ; Ielpo, Florian ; Sevi, Benoit ; Chorro, Christophe. In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). RePEc:hal:cesptp:halshs-01442618.

Full description at Econpapers || Download paper

2017The contribution of jumps to forecasting the density of returns. (2017). Sevi, Benoit ; Ielpo, Florian ; Chorro, Christophe. In: Post-Print. RePEc:hal:journl:halshs-01442618.

Full description at Econpapers || Download paper

2018The Bias of Realized Volatility. (2018). Leschinski, Christian ; Becker, Janis. In: Hannover Economic Papers (HEP). RePEc:han:dpaper:dp-642.

Full description at Econpapers || Download paper

2017Bootstrapping Pre-Averaged Realized Volatility under Market Microstructure Noise. (2017). Goncalves, Silvia ; Meddahi, Nour ; Hounyo, Ulrich. In: IDEI Working Papers. RePEc:ide:wpaper:31734.

Full description at Econpapers || Download paper

2018“Scaling Down Downside Risk with Inter-Quantile Semivariances”. (2018). Uribe, Jorge. In: IREA Working Papers. RePEc:ira:wpaper:201826.

Full description at Econpapers || Download paper

2019Jump Detection and Noise Separation by a Singular Wavelet Method for Predictive Analytics of High-Frequency Data. (2019). Sun, Edward W ; Lai, Wan-Ni ; Chen, Yi-Ting . In: Computational Economics. RePEc:kap:compec:v:54:y:2019:i:2:d:10.1007_s10614-019-09881-3.

Full description at Econpapers || Download paper

2018Financial crises, price discovery, and information transmission: a high-frequency perspective. (2018). FĂƒÂŒss, Roland ; Zhao, LU ; Stein, Michael ; Mager, Ferdinand ; Fuss, Roland ; ROLAND FÜSS, . In: Financial Markets and Portfolio Management. RePEc:kap:fmktpm:v:32:y:2018:i:4:d:10.1007_s11408-018-0318-3.

Full description at Econpapers || Download paper

2019Do High-frequency-based Measures Improve Conditional Covariance Forecasts?. (2019). Dumitrescu, Elena Ivona ; Banulescu-Radu, Denisa. In: LEO Working Papers / DR LEO. RePEc:leo:wpaper:2709.

Full description at Econpapers || Download paper

2019PrĂ©voir la volatilitĂ© d’un actif financier Ă  l’aide d’un modĂšle Ă  mĂ©lange de frĂ©quences. (2019). Ferrara, Laurent ; Marsilli, Clement ; Banulescu-Radu, Denisa. In: LEO Working Papers / DR LEO. RePEc:leo:wpaper:2710.

Full description at Econpapers || Download paper

2017The contribution of jumps to forecasting the density of returns. (2017). Sévi, Benoßt ; Ielpo, Florian ; Chorro, Christophe ; Sevi, Benoit. In: Documents de travail du Centre d'Economie de la Sorbonne. RePEc:mse:cesdoc:17006.

Full description at Econpapers || Download paper

2017On the number of common factors with high-frequency data. (2017). Kong, Xin-Bing. In: Biometrika. RePEc:oup:biomet:v:104:y:2017:i:2:p:397-410..

Full description at Econpapers || Download paper

2019Factor High-Frequency-Based Volatility (HEAVY) Models. (2019). Xu, Wen ; Sheppard, Kevin. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:17:y:2019:i:1:p:33-65..

Full description at Econpapers || Download paper

2018Cojumps and Asset Allocation in International Equity Markets. (2018). Nguyen, Duc Khuong ; M'SADDEK, Oussama ; Pukthuanthong, Kuntara ; Msaddek, Oussama ; el Hedi, Mohamed. In: MPRA Paper. RePEc:pra:mprapa:89938.

Full description at Econpapers || Download paper

2018Jumps Beyond the Realms of Cricket: India’s Performance in One Day Internationals and Stock Market Movements. (2018). Suleman, Tahir ; Lau, Chi Keung ; GUPTA, RANGAN ; Gkillas (Gillas), Konstantinos ; Marco, Chi Keung. In: Working Papers. RePEc:pre:wpaper:201871.

Full description at Econpapers || Download paper

More than 100 citations found, this list is not complete...

Works by Kim Christensen:


YearTitleTypeCited
2009Realised Quantile-Based Estimation of the Integrated Variance In: CREATES Research Papers.
[Full Text][Citation analysis]
paper59
2010Realised quantile-based estimation of the integrated variance.(2010) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 59
article
2010Realised quantile-based estimation of the integrated variance.(2010) In: Post-Print.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 59
paper
2009Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data In: CREATES Research Papers.
[Full Text][Citation analysis]
paper96
2010Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data.(2010) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 96
article
2010Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data.(2010) In: Post-Print.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 96
paper
2011Fact or friction: Jumps at ultra high frequency In: CREATES Research Papers.
[Full Text][Citation analysis]
paper59
2014Fact or friction: Jumps at ultra high frequency.(2014) In: Journal of Financial Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 59
article
2011Asymptotic theory of range-based multipower variation In: CREATES Research Papers.
[Full Text][Citation analysis]
paper14
2012Asymptotic Theory of Range-Based Multipower Variation.(2012) In: Journal of Financial Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 14
article
2011On covariation estimation for multivariate continuous ItĂŽ semimartingales with noise in non-synchronous observation schemes In: CREATES Research Papers.
[Full Text][Citation analysis]
paper32
2013On covariation estimation for multivariate continuous ItĂŽ semimartingales with noise in non-synchronous observation schemes.(2013) In: Journal of Multivariate Analysis.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 32
article
2015Inference from high-frequency data: A subsampling approach In: CREATES Research Papers.
[Full Text][Citation analysis]
paper4
2007Realized range-based estimation of integrated variance In: Journal of Econometrics.
[Full Text][Citation analysis]
article105
2009Bias-correcting the realized range-based variance in the presence of market microstructure noise In: Finance and Stochastics.
[Full Text][Citation analysis]
article19
2006Bias-Correcting the Realized Range-Based Variance in the Presence of Market Microstructure Noise.(2006) In: Technical Reports.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 19
paper
2005Asymptotic theory for range-based estimation of integrated variance of a continuous semi-martingale In: Technical Reports.
[Full Text][Citation analysis]
paper17
2006Range-Based Estimation of Quadratic Variation In: Technical Reports.
[Full Text][Citation analysis]
paper21

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated July, 2 2020. Contact: CitEc Team