Mark Podolskij : Citation Profile


Are you Mark Podolskij?

Aarhus Universitet
Eidgenössische Technische Hochschule Zürich (ETHZ)

14

H index

19

i10 index

651

Citations

RESEARCH PRODUCTION:

14

Articles

32

Papers

RESEARCH ACTIVITY:

   8 years (2004 - 2012). See details.
   Cites by year: 81
   Journals where Mark Podolskij has often published
   Relations with other researchers
   Recent citing documents: 67.    Total self citations: 38 (5.52 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/ppo225
   Updated: 2018-09-15    RAS profile: 2012-04-22    
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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 Mark Podolskij.

Is cited by:

Shephard, Neil (34)

Caporin, Massimiliano (28)

Hansen, Peter (19)

Barndorff-Nielsen, Ole (19)

Veliyev, Bezirgen (17)

Andersen, Torben (17)

Patton, Andrew (15)

Sheppard, Kevin (14)

Christensen, Kim (13)

Renò, Roberto (13)

Ait-Sahalia, Yacine (12)

Cites to:

Barndorff-Nielsen, Ole (65)

Shephard, Neil (58)

Bollerslev, Tim (25)

Andersen, Torben (25)

Diebold, Francis (24)

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

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

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

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

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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.

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

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

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

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

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

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

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

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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.

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

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

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

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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

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

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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.

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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.

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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.

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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.

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

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

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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..

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2017A test for a parametric form of the volatility in second-order diffusion models. (2017). Yan, Tianshun ; Mei, Changlin . In: Computational Statistics. RePEc:spr:compst:v:32:y:2017:i:4:d:10.1007_s00180-016-0685-z.

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2017Jump-robust estimation of volatility with simultaneous presence of microstructure noise and multiple observations. (2017). Liu, Zhi. In: Finance and Stochastics. RePEc:spr:finsto:v:21:y:2017:i:2:d:10.1007_s00780-017-0325-7.

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2017Improving (E)GARCH forecasts with robust realized range measures: Evidence from international markets. (2017). de Melo, Beatriz Vaz ; Accioly, Victor Bello . In: Journal of Economics and Finance. RePEc:spr:jecfin:v:41:y:2017:i:4:d:10.1007_s12197-017-9386-x.

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2017Time endogeneity and an optimal weight function in pre-averaging covariance estimation. (2017). Koike, Yuta. In: Statistical Inference for Stochastic Processes. RePEc:spr:sistpr:v:20:y:2017:i:1:d:10.1007_s11203-016-9135-3.

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2017Pre-averaged kernel estimators for the drift function of a diffusion process in the presence of microstructure noise. (2017). Lee, Wooyong ; Wefelmeyer, Wolfgang ; Heckman, Nancy ; Greenwood, Priscilla E. In: Statistical Inference for Stochastic Processes. RePEc:spr:sistpr:v:20:y:2017:i:2:d:10.1007_s11203-016-9141-5.

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2017Estimation of the Continuous and Discontinuous Leverage Effects. (2017). Fan, Jianqing ; Ait-Sahalia, Yacine ; Yang, Xiye ; Wang, Christina Dan. In: Journal of the American Statistical Association. RePEc:taf:jnlasa:v:112:y:2017:i:520:p:1744-1758.

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2017The Generalized Conditional Autoregressive Wishart Model for Multivariate Realized Volatility. (2017). , Philip ; Ng, F C ; Li, W K. In: Journal of Business & Economic Statistics. RePEc:taf:jnlbes:v:35:y:2017:i:4:p:513-527.

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2017Bootstrapping Pre-Averaged Realized Volatility under Market Microstructure Noise. (2017). Goncalves, Silvia ; Meddahi, Nour ; Hounyo, Ulrich. In: TSE Working Papers. RePEc:tse:wpaper:31733.

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2017Interconnectedness in the global financial market. (2017). Raddant, Matthias ; Kenett, Dror Y. In: Kiel Working Papers. RePEc:zbw:ifwkwp:2076.

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Works by Mark Podolskij:


YearTitleTypeCited
2007A Range-Based Test for the Parametric Form of the Volatility in Diffusion Models In: CREATES Research Papers.
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2008A Range-Based Test for the Parametric Form of the Volatility in Diffusion Models.(2008) In: CREATES Research Papers.
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2007Estimation of Volatility Functionals in the Simultaneous Presence of Microstructure Noise and Jumps In: CREATES Research Papers.
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paper17
2006Estimation of Volatility Functionals in the Simultaneous Presence of Microstructure Noise and Jumps.(2006) In: Technical Reports.
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2007Power variation for Gaussian processes with stationary increments In: CREATES Research Papers.
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2008Bipower variation for Gaussian processes with stationary increments.(2008) In: CREATES Research Papers.
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2009Power variation for Gaussian processes with stationary increments.(2009) In: Stochastic Processes and their Applications.
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2007Microstructure Noise in the Continuous Case: The Pre-Averaging Approach - JLMPV-9 In: CREATES Research Papers.
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2008An Econometric Analysis of Modulated Realised Covariance, Regression and Correlation in Noisy Diffusion Models In: CREATES Research Papers.
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2008An Econometric Analysis of Modulated Realised Covariance, Regression and Correlation in Noisy Diffusion Models.(2008) In: OFRC Working Papers Series.
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2008Bipower-type estimation in a noisy diffusion setting In: CREATES Research Papers.
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2009Bipower-type estimation in a noisy diffusion setting.(2009) In: Stochastic Processes and their Applications.
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2008Bipower-type estimation in a noisy diffusion setting.(2008) In: Technical Reports.
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2008New tests for jumps: a threshold-based approach In: CREATES Research Papers.
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2009Multipower Variation for Brownian Semistationary Processes In: CREATES Research Papers.
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2009Realised Quantile-Based Estimation of the Integrated Variance In: CREATES Research Papers.
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2010Realised quantile-based estimation of the integrated variance.(2010) In: Journal of Econometrics.
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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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2010Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data.(2010) In: Journal of Econometrics.
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2009Understanding limit theorems for semimartingales: a short survey In: CREATES Research Papers.
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2010Understanding limit theorems for semimartingales: a short survey.(2010) In: Statistica Neerlandica.
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2009Limit theorems for functionals of higher order differences of Brownian semi-stationary processes In: CREATES Research Papers.
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2010Quantitative Breuer-Major Theorems In: CREATES Research Papers.
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2011Quantitative Breuer-Major theorems.(2011) In: Stochastic Processes and their Applications.
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2010Pre-Averaging Based Estimation of Quadratic Variation in the Presence of Noise and Jumps: Theory, Implementation, and Empirical Evidence In: CREATES Research Papers.
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2011Testing the local volatility assumption: a statistical approach In: CREATES Research Papers.
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2012Testing the local volatility assumption: a statistical approach.(2012) In: Annals of Finance.
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2011Fact or friction: Jumps at ultra high frequency In: CREATES Research Papers.
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2011Asymptotic theory of range-based multipower variation In: CREATES Research Papers.
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2011On covariation estimation for multivariate continuous Itô semimartingales with noise in non-synchronous observation schemes In: CREATES Research Papers.
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2006Estimation of Integrated Volatility in Continuous-Time Financial Models with Applications to Goodness-of-Fit Testing In: Scandinavian Journal of Statistics.
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2004Estimation of integrated volatility in continuous time financial models with applications to goodness-of-fit testing.(2004) In: Technical Reports.
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2007Realized range-based estimation of integrated variance In: Journal of Econometrics.
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2008Testing the parametric form of the volatility in continuous time diffusion models--a stochastic process approach In: Journal of Econometrics.
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2008A note on the central limit theorem for bipower variation of general functions In: Stochastic Processes and their Applications.
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2007A Note on the Central Limit Theorem for Bipower Variation of General Functions.(2007) In: OFRC Working Papers Series.
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2009Microstructure noise in the continuous case: The pre-averaging approach In: Stochastic Processes and their Applications.
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2007Microstructure noise in the continuous case: the pre-averaging approach.(2007) In: Technical Reports.
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2004A Central Limit Theorem for Realised Power and Bipower Variations of Continuous Semimartingales In: Economics Papers.
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2004A Central Limit Theorem for Realised Power and Bipower Variations of Continuous Semimartingales.(2004) In: OFRC Working Papers Series.
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2004A central limit theorem for realised power and bipower variations of continuous semimartingales.(2004) In: Technical Reports.
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2009Bias-correcting the realized range-based variance in the presence of market microstructure noise In: Finance and Stochastics.
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2006Bias-Correcting the Realized Range-Based Variance in the Presence of Market Microstructure Noise.(2006) In: Technical Reports.
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2010New tests for jumps in semimartingale models In: Statistical Inference for Stochastic Processes.
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2005Testing the parametric form of the volatility in continuous time diffusion models: an empirical process approach In: Technical Reports.
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2006Range-Based Estimation of Quadratic Variation In: Technical Reports.
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paper15

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