Mark Podolskij : Citation Profile


Are you Mark Podolskij?

Aarhus Universitet
Eidgenössische Technische Hochschule Zürich (ETHZ)

15

H index

18

i10 index

730

Citations

RESEARCH PRODUCTION:

13

Articles

32

Papers

RESEARCH ACTIVITY:

   8 years (2004 - 2012). See details.
   Cites by year: 91
   Journals where Mark Podolskij has often published
   Relations with other researchers
   Recent citing documents: 128.    Total self citations: 37 (4.82 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/ppo225
   Updated: 2020-03-21    RAS profile: 2012-04-22    
   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 Mark Podolskij.

Is cited by:

Shephard, Neil (37)

Caporin, Massimiliano (26)

Hansen, Peter (19)

Barndorff-Nielsen, Ole (19)

Veliyev, Bezirgen (17)

Andersen, Torben (17)

Patton, Andrew (15)

Bollerslev, Tim (14)

Christensen, Kim (13)

Renò, Roberto (13)

Frondel, Manuel (12)

Cites to:

Barndorff-Nielsen, Ole (65)

Shephard, Neil (58)

Andersen, Torben (25)

Bollerslev, Tim (25)

Diebold, Francis (23)

Lunde, Asger (22)

Hansen, Peter (21)

Ait-Sahalia, Yacine (13)

Christensen, Kim (10)

Scholes, Myron (7)

Ghysels, Eric (7)

Main data


Where Mark Podolskij has published?


Journals with more than one article published# docs
Stochastic Processes and their Applications5
Journal of Econometrics4

Working Papers Series with more than one paper published# docs
Technical Reports / Technische Universitt Dortmund, Sonderforschungsbereich 475: Komplexittsreduktion in multivariaten Datenstrukturen8
OFRC Working Papers Series / Oxford Financial Research Centre3

Recent works citing Mark Podolskij (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

2017Interconnectedness 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

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

2018Theoretical and empirical analysis of trading activity. (2018). Tangpi, Ludovic ; Schachermayer, Walter ; Ristig, Alexander ; Pohl, Mathias. In: Papers. RePEc:arx:papers:1803.04892.

Full description at Econpapers || Download paper

2018Nonparametric Bayesian volatility learning under microstructure noise. (2018). Gugushvili, Shota ; Spreij, Peter ; Schauer, Moritz ; van der Meulen, Frank . In: Papers. RePEc:arx:papers:1805.05606.

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

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

2017Modeling spot rate using a realized stochastic volatility model with level effect and dynamic drift☆. (2017). Li, Shaoyu ; Zheng, Tingguo . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:40:y:2017:i:c:p:200-221.

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

2017Model-free approaches to discern non-stationary microstructure noise and time-varying liquidity in high-frequency data. (2017). Chen, Richard Y ; Mykland, Per A. In: Journal of Econometrics. RePEc:eee:econom:v:200:y:2017:i:1:p:79-103.

Full description at Econpapers || Download paper

2017On high frequency estimation of the frictionless price: The use of observed liquidity variables. (2017). Chaker, Selma . In: Journal of Econometrics. RePEc:eee:econom:v:201:y:2017:i:1:p:127-143.

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

2018Testing for mutually exciting jumps and financial flights in high frequency data. (2018). Yang, Xiye ; Erdemlioglu, Deniz ; Dungey, Mardi ; Matei, Marius. In: Journal of Econometrics. RePEc:eee:econom:v:202:y:2018:i:1:p:18-44.

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

2018Testing for jumps and jump intensity path dependence. (2018). Corradi, Valentina ; Swanson, Norman R ; Silvapulle, Mervyn J. In: Journal of Econometrics. RePEc:eee:econom:v:204:y:2018:i:2:p:248-267.

Full description at Econpapers || Download paper

2018Efficient asymptotic variance reduction when estimating volatility in high frequency data. (2018). Clinet, Simon ; Potiron, Yoann. In: Journal of Econometrics. RePEc:eee:econom:v:206:y:2018:i:1:p:103-142.

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-Itô 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

2019Testing if the market microstructure noise is fully explained by the informational content of some variables from the limit order book. (2019). Potiron, Yoann ; Clinet, Simon. In: Journal of Econometrics. RePEc:eee:econom:v:209:y:2019:i:2:p:289-337.

Full description at Econpapers || Download paper

2019A Hausman test for the presence of market microstructure noise in high frequency data. (2019). Xiu, Dacheng ; Ait-Sahalia, Yacine. In: Journal of Econometrics. RePEc:eee:econom:v:211:y:2019:i:1:p:176-205.

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

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

2017The asymmetric relationship between returns and implied volatility: Evidence from global stock markets. (2017). Uddin, Gazi ; naoui, kamel ; Bekiros, Stelios ; Jlassi, Mouna. In: Journal of Financial Stability. RePEc:eee:finsta:v:30:y:2017:i:c:p:156-174.

Full description at Econpapers || Download paper

2017Realized volatility forecasting of agricultural commodity futures using the HAR model with time-varying sparsity. (2017). Chen, Langnan ; Tian, Fengping ; Yang, KE. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:1:p:132-152.

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

2018A continuous and efficient fundamental price on the discrete order book grid. (2018). Bonart, Julius ; Lillo, Fabrizio. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:503:y:2018:i:c:p:698-713.

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

2019A focused information criterion for quantile regression: Evidence for the rebound effect. (2019). Vance, Colin ; Frondel, Manuel ; Dette, Holger ; Behl, Peter. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:71:y:2019:i:c:p:223-227.

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

2019The signal and the noise volatilities. (2019). Chaker, Selma. In: Research in International Business and Finance. RePEc:eee:riibaf:v:50:y:2019:i:c:p:79-105.

Full description at Econpapers || Download paper

2017A CLT concerning critical points of random functions on a Euclidean space. (2017). Nicolaescu, Liviu I. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:127:y:2017:i:10:p:3412-3446.

Full description at Econpapers || Download paper

2017Edgeworth expansion for the pre-averaging estimator. (2017). Veliyev, Bezirgen ; Yoshida, Nakahiro ; Podolskij, Mark. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:127:y:2017:i:11:p:3558-3595.

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

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

2020Power Demand Forecasting using Long Short-Term Memory (LSTM) Deep-Learning Model for Monitoring Energy Sustainability. (2020). Kim, Dong Keun ; Cho, Soohwan ; Choi, Eunjeong. In: Sustainability. RePEc:gam:jsusta:v:12:y:2020:i:3:p:1109-:d:316309.

Full description at Econpapers || Download paper

2017The contribution of jumps to forecasting the density of returns. (2017). Sévi, Benoît ; 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

2019The CMMV Pricing Model in Practice. (2019). Dabo, Moussa ; de Meyer, Bernard ; DEMEYER, Bernard . In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). RePEc:hal:cesptp:halshs-02383135.

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

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

Works by Mark Podolskij:


YearTitleTypeCited
2007A Range-Based Test for the Parametric Form of the Volatility in Diffusion Models In: CREATES Research Papers.
[Full Text][Citation analysis]
paper3
2008A Range-Based Test for the Parametric Form of the Volatility in Diffusion Models.(2008) In: CREATES Research Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 3
paper
2007Estimation of Volatility Functionals in the Simultaneous Presence of Microstructure Noise and Jumps In: CREATES Research Papers.
[Full Text][Citation analysis]
paper17
2006Estimation of Volatility Functionals in the Simultaneous Presence of Microstructure Noise and Jumps.(2006) In: Technical Reports.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 17
paper
2007Power variation for Gaussian processes with stationary increments In: CREATES Research Papers.
[Full Text][Citation analysis]
paper11
2008Bipower variation for Gaussian processes with stationary increments.(2008) In: CREATES Research Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 11
paper
2009Power variation for Gaussian processes with stationary increments.(2009) In: Stochastic Processes and their Applications.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 11
article
2007Microstructure Noise in the Continuous Case: The Pre-Averaging Approach - JLMPV-9 In: CREATES Research Papers.
[Full Text][Citation analysis]
paper16
2008An Econometric Analysis of Modulated Realised Covariance, Regression and Correlation in Noisy Diffusion Models In: CREATES Research Papers.
[Full Text][Citation analysis]
paper2
2008An Econometric Analysis of Modulated Realised Covariance, Regression and Correlation in Noisy Diffusion Models.(2008) In: OFRC Working Papers Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 2
paper
2008Bipower-type estimation in a noisy diffusion setting In: CREATES Research Papers.
[Full Text][Citation analysis]
paper23
2009Bipower-type estimation in a noisy diffusion setting.(2009) In: Stochastic Processes and their Applications.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 23
article
2008Bipower-type estimation in a noisy diffusion setting.(2008) In: Technical Reports.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 23
paper
2008New tests for jumps: a threshold-based approach In: CREATES Research Papers.
[Full Text][Citation analysis]
paper3
2009Multipower Variation for Brownian Semistationary Processes In: CREATES Research Papers.
[Full Text][Citation analysis]
paper2
2009Realised Quantile-Based Estimation of the Integrated Variance In: CREATES Research Papers.
[Full Text][Citation analysis]
paper55
2010Realised quantile-based estimation of the integrated variance.(2010) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 55
article
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]
paper92
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: 92
article
2009Understanding limit theorems for semimartingales: a short survey In: CREATES Research Papers.
[Full Text][Citation analysis]
paper1
2009Limit theorems for functionals of higher order differences of Brownian semi-stationary processes In: CREATES Research Papers.
[Full Text][Citation analysis]
paper1
2010Quantitative Breuer-Major Theorems In: CREATES Research Papers.
[Full Text][Citation analysis]
paper5
2011Quantitative Breuer-Major theorems.(2011) In: Stochastic Processes and their Applications.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 5
article
2010Pre-Averaging Based Estimation of Quadratic Variation in the Presence of Noise and Jumps: Theory, Implementation, and Empirical Evidence In: CREATES Research Papers.
[Full Text][Citation analysis]
paper36
2011Testing the local volatility assumption: a statistical approach In: CREATES Research Papers.
[Full Text][Citation analysis]
paper3
2012Testing the local volatility assumption: a statistical approach.(2012) In: Annals of Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 3
article
2011Fact or friction: Jumps at ultra high frequency In: CREATES Research Papers.
[Full Text][Citation analysis]
paper57
2011Asymptotic theory of range-based multipower variation In: CREATES Research Papers.
[Full Text][Citation analysis]
paper14
2011On covariation estimation for multivariate continuous Itô semimartingales with noise in non-synchronous observation schemes In: CREATES Research Papers.
[Full Text][Citation analysis]
paper32
2006Estimation of Integrated Volatility in Continuous‐Time Financial Models with Applications to Goodness‐of‐Fit Testing In: Scandinavian Journal of Statistics.
[Full Text][Citation analysis]
article17
2004Estimation of integrated volatility in continuous time financial models with applications to goodness-of-fit testing.(2004) In: Technical Reports.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 17
paper
2007Realized range-based estimation of integrated variance In: Journal of Econometrics.
[Full Text][Citation analysis]
article101
2008Testing the parametric form of the volatility in continuous time diffusion models--a stochastic process approach In: Journal of Econometrics.
[Full Text][Citation analysis]
article17
2008A note on the central limit theorem for bipower variation of general functions In: Stochastic Processes and their Applications.
[Full Text][Citation analysis]
article12
2007A Note on the Central Limit Theorem for Bipower Variation of General Functions.(2007) In: OFRC Working Papers Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 12
paper
2009Microstructure noise in the continuous case: The pre-averaging approach In: Stochastic Processes and their Applications.
[Full Text][Citation analysis]
article128
2007Microstructure noise in the continuous case: the pre-averaging approach.(2007) In: Technical Reports.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 128
paper
2004A Central Limit Theorem for Realised Power and Bipower Variations of Continuous Semimartingales In: Economics Papers.
[Full Text][Citation analysis]
paper41
2004A Central Limit Theorem for Realised Power and Bipower Variations of Continuous Semimartingales.(2004) In: OFRC Working Papers Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 41
paper
2004A central limit theorem for realised power and bipower variations of continuous semimartingales.(2004) In: Technical Reports.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 41
paper
2009Bias-correcting the realized range-based variance in the presence of market microstructure noise In: Finance and Stochastics.
[Full Text][Citation analysis]
article17
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: 17
paper
2010New tests for jumps in semimartingale models In: Statistical Inference for Stochastic Processes.
[Full Text][Citation analysis]
article8
2005Testing the parametric form of the volatility in continuous time diffusion models: an empirical process approach In: Technical Reports.
[Full Text][Citation analysis]
paper0
2006Range-Based Estimation of Quadratic Variation In: Technical Reports.
[Full Text][Citation analysis]
paper16

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated March, 4 2020. Contact: CitEc Team