Kim Christensen : Citation Profile


Are you Kim Christensen?

Aarhus Universitet

9

H index

9

i10 index

456

Citations

RESEARCH PRODUCTION:

7

Articles

11

Papers

RESEARCH ACTIVITY:

   10 years (2005 - 2015). See details.
   Cites by year: 45
   Journals where Kim Christensen has often published
   Relations with other researchers
   Recent citing documents: 43.    Total self citations: 9 (1.94 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pch745
   Updated: 2021-06-07    RAS profile: 2015-12-15    
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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:

Caporin, Massimiliano (20)

Shephard, Neil (18)

Patton, Andrew (13)

Hansen, Peter (11)

Sheppard, Kevin (11)

Podolskij, Mark (10)

Santucci de Magistris, Paolo (10)

Xiu, Dacheng (9)

Voev, Valeri (9)

Andersen, Torben (8)

Rossi, Eduardo (7)

Cites to:

Podolskij, Mark (21)

Shephard, Neil (18)

Bollerslev, Tim (17)

Andersen, Torben (17)

Diebold, Francis (17)

Barndorff-Nielsen, Ole (15)

Renault, Eric (9)

Lunde, Asger (9)

Ghysels, Eric (8)

Hansen, Peter (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 Universitt Dortmund, Sonderforschungsbereich 475: Komplexittsreduktion in multivariaten Datenstrukturen3
Post-Print / HAL2

Recent works citing Kim Christensen (2021 and 2020)


YearTitle of citing document
2021Decoupling the short- and long-term behavior of stochastic volatility. (2017). Bennedsen, Mikkel ; Pakkanen, Mikko S ; Lunde, Asger. In: Papers. RePEc:arx:papers:1610.00332.

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

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

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

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2021A 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.

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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.

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2021Stochastic leverage effect in high-frequency data: a Fourier based analysis. (2019). Sanfelici, Simona ; Curato, Imma Valentina. In: Papers. RePEc:arx:papers:1910.06660.

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

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2021Streaming Perspective in Quadratic Covariation Estimation Using Financial Ultra-High-Frequency Data. (2020). Tomanov, Petra ; Hol, Vladim'Ir. In: Papers. RePEc:arx:papers:2003.13062.

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

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

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2020Tail risk forecasting using Bayesian realized EGARCH models. (2020). Wang, Chao ; Gerlach, Richard ; Tendenan, Vica. In: Papers. RePEc:arx:papers:2008.05147.

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2021State Heterogeneity Analysis of Financial Volatility Using High-Frequency Financial Data. (2021). Kim, Donggyu ; Chun, Dohyun. In: Papers. RePEc:arx:papers:2102.13404.

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2020Understanding Systematic Risk: A High‐Frequency Approach. (2020). Pelger, Markus. In: Journal of Finance. RePEc:bla:jfinan:v:75:y:2020:i:4:p:2179-2220.

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2020JUMPS, NEWS, AND SUBSEQUENT RETURN DYNAMICS: AN INTRADAY STUDY. (2020). Yin, Xiangkang ; Zhao, Jing ; Xiao, Yuewen. In: Journal of Financial Research. RePEc:bla:jfnres:v:43:y:2020:i:3:p:705-731.

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2021Predicting risk in energy markets: Low-frequency data still matter. (2021). Výrost, Tomᚠ; Vrost, Toma ; Todorova, Neda ; Lyocsa, Tefan. In: Applied Energy. RePEc:eee:appene:v:282:y:2021:i:pa:s0306261920315567.

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2020Forecasting stock market in high and low volatility periods: a modified multifractal volatility approach. (2020). Zhang, Tonghui ; Yuan, Ying. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:140:y:2020:i:c:s0960077920306482.

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2020Volatility transmission between oil prices and banks stock prices as a new source of instability: Lessons from the United States experience. (2020). Ehouman, Yao Axel. In: Economic Modelling. RePEc:eee:ecmode:v:91:y:2020:i:c:p:198-217.

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2020Prediction of volatility based on realized-GARCH-kernel-type models: Evidence from China and the U.S.. (2020). , Jingyu ; Zhu, Yanjian ; Jiang, Yuexiang ; Wang, Jiazhen ; Yu, Jing. In: Economic Modelling. RePEc:eee:ecmode:v:91:y:2020:i:c:p:428-444.

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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.

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2020High-frequency jump tests: Which test should we use?. (2020). Forbes, Catherine S ; Martin, Gael M ; Maneesoonthorn, Worapree. In: Journal of Econometrics. RePEc:eee:econom:v:219:y:2020:i:2:p:478-487.

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2021Volatility analysis with realized GARCH-Itô models. (2021). Wang, Yazhen ; Zhou, Yong ; Lu, Zhiping ; Cui, Xiangyu ; Yuan, Huiling ; Kim, Donggyu ; Song, Xinyu. In: Journal of Econometrics. RePEc:eee:econom:v:222:y:2021:i:1:p:393-410.

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2020The economic value of VIX ETPs. (2020). Christiansen, Charlotte ; Posselt, Anders M ; Christensen, Kim. In: Journal of Empirical Finance. RePEc:eee:empfin:v:58:y:2020:i:c:p:121-138.

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2020On the intraday dynamics of oil price and exchange rate: What can we learn from China and India?. (2020). Prakash, Ravi ; Ahmad, Wasim ; Dutta, Anupam ; Rahman, Md Lutfur ; Kaur, Rishman Jot ; Uddin, Gazi Salah. In: Energy Economics. RePEc:eee:eneeco:v:91:y:2020:i:c:s0140988320302115.

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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.

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2021Price dynamics of individual stocks: Jumps and information. (2021). Zhao, Jing ; Xiao, Yuewen. In: Finance Research Letters. RePEc:eee:finlet:v:38:y:2021:i:c:s1544612319309390.

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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.

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2020Forecasting volatility and co-volatility of crude oil and gold futures: Effects of leverage, jumps, spillovers, and geopolitical risks. (2020). McAleer, Michael ; GUPTA, RANGAN ; Asai, Manabu. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:3:p:933-948.

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2021The double-edged role of social learning: Flash crash and lower total volatility. (2021). Wang, Xue ; Xiong, Xiong ; Zhang, Wei ; Xu, Hai-Chuan ; Zhou, Wei-Xing. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:182:y:2021:i:c:p:405-420.

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2021Interconnectedness in the global financial market. (2021). Raddant, Matthias ; Kenett, Dror Y. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:110:y:2021:i:c:s0261560620302369.

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2020Intraday price jumps, market liquidity, and the magnet effect of circuit breakers. (2020). Zhou, Jie ; Jian, Zhi Hong ; Wu, Shuai ; Zhu, Zhican. In: International Review of Economics & Finance. RePEc:eee:reveco:v:70:y:2020:i:c:p:168-186.

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2020The 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.

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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.

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2020Realized Volatility Forecasting Based on Dynamic Quantile Model Averaging. (2020). Mi, Xianhua ; Ma, Chaoqun ; Cai, Zongwu. In: WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS. RePEc:kan:wpaper:202016.

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2021Dynamics of Return and Liquidity (Co)Jumps in Emerging Foreign Exchange Markets. (2021). Sensoy, Ahmet ; Nguyen, Duc Khuong ; Serdengecti, Suleyman. In: MPRA Paper. RePEc:pra:mprapa:105162.

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2021Measuring the Jump Risk Contribution under Market Microstructure Noise – Evidence from Chinese Stock Market. (2021). Zhao, Xujie ; Yu, Chao. In: Journal for Economic Forecasting. RePEc:rjr:romjef:v::y:2021:i:1:p:32-47.

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2020Greek sovereign crisis and European exchange rates: effects of news releases and their providers. (2020). Garefalakis, Alexandros ; Floros, Christos ; Vortelinos, Dimitrios ; Gkillas, Konstantinos ; Sariannidis, Nikolaos. In: Annals of Operations Research. RePEc:spr:annopr:v:294:y:2020:i:1:d:10.1007_s10479-019-03199-x.

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2020Realised volatility and parametric estimation of Heston SDEs. (2020). Timofeyev, Ilya ; Ren, Peng ; Azencott, Robert. In: Finance and Stochastics. RePEc:spr:finsto:v:24:y:2020:i:3:d:10.1007_s00780-020-00427-2.

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2020Estimation of Volatility Functions in Jump Diffusions Using Truncated Bipower Increments. (2020). Wang, Bin ; Park, Joon ; Kim, Jihyun. In: TSE Working Papers. RePEc:tse:wpaper:124234.

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2020Are Corn Futures Prices Getting “Jumpy”?. (2020). Couleau, Anabelle ; Garcia, Philip ; Serra, Teresa. In: American Journal of Agricultural Economics. RePEc:wly:ajagec:v:102:y:2020:i:2:p:569-588.

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2021Predicting intraday jumps in stock prices using liquidity measures and technical indicators. (2021). Azencott, Robert ; Zhu, Hongliang ; Kong, AO. In: Journal of Forecasting. RePEc:wly:jforec:v:40:y:2021:i:3:p:416-438.

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2020Cojump anchoring. (2020). Yao, Wenying ; Winkelmann, Lars. In: Discussion Papers. RePEc:zbw:fubsbe:202017.

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2020Non-Parametric Estimation of Spot Covariance Matrix with High-Frequency Data. (2020). Wang, Weining ; Mustafayeva, Konul. In: IRTG 1792 Discussion Papers. RePEc:zbw:irtgdp:2020025.

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Works by Kim Christensen:


YearTitleTypeCited
2009Realised Quantile-Based Estimation of the Integrated Variance In: CREATES Research Papers.
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paper61
2010Realised quantile-based estimation of the integrated variance.(2010) In: Journal of Econometrics.
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This paper has another version. Agregated cites: 61
article
2010Realised quantile-based estimation of the integrated variance.(2010) In: Post-Print.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 61
paper
2009Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data In: CREATES Research Papers.
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paper103
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: 103
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: 103
paper
2011Fact or friction: Jumps at ultra high frequency In: CREATES Research Papers.
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paper74
2014Fact or friction: Jumps at ultra high frequency.(2014) In: Journal of Financial Economics.
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This paper has another version. Agregated cites: 74
article
2011Asymptotic theory of range-based multipower variation In: CREATES Research Papers.
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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 Itô semimartingales with noise in non-synchronous observation schemes In: CREATES Research Papers.
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paper34
2013On covariation estimation for multivariate continuous Itô 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: 34
article
2015Inference from high-frequency data: A subsampling approach In: CREATES Research Papers.
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paper5
2007Realized range-based estimation of integrated variance In: Journal of Econometrics.
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article110
2009Bias-correcting the realized range-based variance in the presence of market microstructure noise In: Finance and Stochastics.
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article20
2006Bias-Correcting the Realized Range-Based Variance in the Presence of Market Microstructure Noise.(2006) In: Technical Reports.
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This paper has another version. Agregated cites: 20
paper
2005Asymptotic theory for range-based estimation of integrated variance of a continuous semi-martingale In: Technical Reports.
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paper15
2006Range-Based Estimation of Quadratic Variation In: Technical Reports.
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paper20

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