Mark Podolskij : Citation Profile


Are you Mark Podolskij?

Aarhus Universitet
Eidgenössische Technische Hochschule Zürich (ETHZ)

13

H index

17

i10 index

549

Citations

RESEARCH PRODUCTION:

14

Articles

32

Papers

RESEARCH ACTIVITY:

   8 years (2004 - 2012). See details.
   Cites by year: 68
   Journals where Mark Podolskij has often published
   Relations with other researchers
   Recent citing documents: 60.    Total self citations: 36 (6.15 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/ppo225
   Updated: 2017-04-29    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 (38)

Barndorff-Nielsen, Ole (23)

Caporin, Massimiliano (23)

Hansen, Peter (18)

Andersen, Torben (17)

Patton, Andrew (15)

Renò, Roberto (14)

Sheppard, Kevin (14)

Christensen, Kim (13)

Voev, Valeri (12)

Frondel, Manuel (12)

Cites to:

Barndorff-Nielsen, Ole (63)

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)

Tauchen, George (7)

Scholes, Myron (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 (2017 and 2016)


YearTitle of citing document
2016Modeling and Forecasting (Un)Reliable Realized Covariances for More Reliable Financial Decisions. (2016). Quaedvlieg, Rogier ; Patton, Andrew ; Bollerslev, Tim . In: CREATES Research Papers. RePEc:aah:create:2016-10.

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2016Testing for heteroscedasticity in jumpy and noisy high-frequency data: A resampling approach. (2016). Christensen, Kim ; Podolskij, Mark ; Hounyo, Ulrich . In: CREATES Research Papers. RePEc:aah:create:2016-27.

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2016Principal Components Analysis for Semimartingales and Stochastic PDE. (2016). Ohashi, Alberto ; Simas, Alexandre B. In: Papers. RePEc:arx:papers:1503.05909.

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2016Semimartingale detection and goodness-of-fit tests. (2016). Bull, Adam D.. In: Papers. RePEc:arx:papers:1506.00088.

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2016Estimation of integrated quadratic covariation with endogenous sampling times. (2016). Potiron, Yoann ; Mykland, Per . In: Papers. RePEc:arx:papers:1507.01033.

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2017Local Parametric Estimation in High Frequency Data. (2017). Potiron, Yoann. In: Papers. RePEc:arx:papers:1603.05700.

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2016Decoupling the short- and long-term behavior of stochastic volatility. (2016). Bennedsen, Mikkel ; Pakkanen, Mikko S ; Lunde, Asger . In: Papers. RePEc:arx:papers:1610.00332.

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2016Bayesian Semi-parametric Realized-CARE Models for Tail Risk Forecasting Incorporating Realized Measures. (2016). Wang, Chao ; Gerlach, Richard . In: Papers. RePEc:arx:papers:1612.08488.

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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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2016Assessing the Impact of the Realized Range on the (E)GARCH Volatility: Evidence from Brazil. (2016). Accioly, Victor Bello ; de Melo, Beatriz Vaz . In: Brazilian Business Review. RePEc:bbz:fcpbbr:v:13:y:2016:i:2:p1-26.

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2016High Frequency vs. Daily Resolution: the Economic Value of Forecasting Volatility Models. (2016). Lilla, F. In: Working Papers. RePEc:bol:bodewp:wp1084.

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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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2016A Semiparametric Intraday GARCH Model. (2016). Malec, Peter. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:1633.

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2016Bootstrapping pre-averaged realized volatility under market microstructure noise. (2016). Hounyo, Ulrich ; Meddahi, Nour ; Gonalves, Silvia . In: CIRANO Working Papers. RePEc:cir:cirwor:2016s-25.

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2016Horizon effect in the term structure of long-run risk-return trade-offs. (2016). Okou, Cedric ; Jacquier, Eric . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:100:y:2016:i:c:p:445-466.

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2016A high-frequency analysis of the interactions between REIT return and volatility. (2016). Zhou, Jian. In: Economic Modelling. RePEc:eee:ecmode:v:56:y:2016:i:c:p:102-108.

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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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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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2016Variation-based tests for volatility misspecification. (2016). Papanicolaou, Alex ; Giesecke, Kay . In: Journal of Econometrics. RePEc:eee:econom:v:191:y:2016:i:1:p:217-230.

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2016Estimating the quadratic covariation matrix for asynchronously observed high frequency stock returns corrupted by additive measurement error. (2016). LINTON, OLIVER ; Hong, Seok Young ; Park, Sujin . In: Journal of Econometrics. RePEc:eee:econom:v:191:y:2016:i:2:p:325-347.

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2016Exploiting the errors: A simple approach for improved volatility forecasting. (2016). Quaedvlieg, Rogier ; Patton, Andrew ; Bollerslev, Tim . In: Journal of Econometrics. RePEc:eee:econom:v:192:y:2016:i:1:p:1-18.

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2016A bias-corrected estimator of the covariation matrix of multiple security prices when both microstructure effects and sampling durations are persistent and endogenous. (2016). Ikeda, Shin. In: Journal of Econometrics. RePEc:eee:econom:v:193:y:2016:i:1:p:203-214.

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2016A nonparametric test of a strong leverage hypothesis. (2016). LINTON, OLIVER ; Yen, Yu-Min ; Whang, Yoon-Jae . In: Journal of Econometrics. RePEc:eee:econom:v:194:y:2016:i:1:p:153-186.

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2016Increased correlation among asset classes: Are volatility or jumps to blame, or both?. (2016). Ait-Sahalia, Yacine ; Xiu, Dacheng . In: Journal of Econometrics. RePEc:eee:econom:v:194:y:2016:i:2:p:205-219.

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2016Unified discrete-time and continuous-time models and statistical inferences for merged low-frequency and high-frequency financial data. (2016). Kim, Donggyu ; Wang, Yazhen . In: Journal of Econometrics. RePEc:eee:econom:v:194:y:2016:i:2:p:220-230.

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2016Between data cleaning and inference: Pre-averaging and robust estimators of the efficient price. (2016). Mykland, Per A ; Zhang, Lan . In: Journal of Econometrics. RePEc:eee:econom:v:194:y:2016:i:2:p:242-262.

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2016Efficient estimation of integrated volatility incorporating trading information. (2016). Li, Yingying ; Zheng, Xinghua ; Xie, Shangyu . In: Journal of Econometrics. RePEc:eee:econom:v:195:y:2016:i:1:p:33-50.

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2017Positive semidefinite integrated covariance estimation, factorizations and asynchronicity. (2017). Laurent, Sébastien ; Quaedvlieg, Rogier ; 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). Christensen, K ; Veliyev, B ; Thamrongrat, N ; Podolskij, M. In: Journal of Econometrics. RePEc:eee:econom:v:197:y:2017:i:2:p:245-272.

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

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2016Impacts of implied volatility on stock price realized jumps. (2016). Huang, Alex Yihou . In: Economic Systems. RePEc:eee:ecosys:v:40:y:2016:i:4:p:622-630.

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2016On the relationship between conditional jump intensity and diffusive volatility. (2016). Li, Gang ; Zhang, Chu . In: Journal of Empirical Finance. RePEc:eee:empfin:v:37:y:2016:i:c:p:196-213.

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2016An event study analysis of oil and gas firm acreage and reserve acquisitions. (2016). Sabet, Amir H ; Heaney, Richard . In: Energy Economics. RePEc:eee:eneeco:v:57:y:2016:i:c:p:215-227.

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2016Intra-day realized volatility for European and USA stock indices. (2016). Degiannakis, Stavros ; Floros, Christos . In: Global Finance Journal. RePEc:eee:glofin:v:29:y:2016:i:c:p:24-41.

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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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2016Price and volatility co-jumps. (2016). Renò, Roberto ; Reno, R ; Bandi, F M. In: Journal of Financial Economics. RePEc:eee:jfinec:v:119:y:2016:i:1:p:107-146.

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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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2016Sparse PCA-based on high-dimensional Itô processes with measurement errors. (2016). Wang, Yazhen ; Kim, Donggyu . In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:152:y:2016:i:c:p:172-189.

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2016The informative role of trading volume in an expanding spot and futures market. (2016). Bhaumik, Sumon ; Karanasos, M ; Kartsaklas, A. In: Journal of Multinational Financial Management. RePEc:eee:mulfin:v:35:y:2016:i:c:p:24-40.

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2016Incremental information of stock indicators. (2016). Vortelinos, Dimitrios I. In: International Review of Economics & Finance. RePEc:eee:reveco:v:41:y:2016:i:c:p:79-97.

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2016Asymptotic theory for large volatility matrix estimation based on high-frequency financial data. (2016). Zou, Jian ; Kim, Donggyu ; Wang, Yazhen . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:126:y:2016:i:11:p:3527-3577.

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2016Volatility Forecasting: Downside Risk, Jumps and Leverage Effect. (2016). Audrino, Francesco ; Hu, Yujia . In: Econometrics. RePEc:gam:jecnmx:v:4:y:2016:i:1:p:8-:d:64253.

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2016Volatility Forecasting: Downside Risk, Jumps and Leverage Effect. (2016). Audrino, Francesco ; Hu, Yujia . In: Econometrics. RePEc:gam:jecnmx:v:4:y:2016:i:1:p:8:d:64253.

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2016Continuous and Jump Betas: Implications for Portfolio Diversification. (2016). Yao, Wenying ; Dungey, Mardi ; Alexeev, Vitali. In: Econometrics. RePEc:gam:jecnmx:v:4:y:2016:i:2:p:27-:d:71231.

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2016Market Microstructure Effects on Firm Default Risk Evaluation. (2016). Barsotti, Flavia. In: Econometrics. RePEc:gam:jecnmx:v:4:y:2016:i:3:p:31-:d:73546.

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2016The Determinants of Equity Risk and Their Forecasting Implications: A Quantile Regression Perspective. (2016). Caporin, Massimiliano ; Bonaccolto, Giovanni . In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:9:y:2016:i:3:p:8-:d:73460.

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

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2016Jumps in High-Frequency Data: Spurious Detections, Dynamics, and News. (2016). Scaillet, Olivier ; Treccani, Adrien ; Bajgrowicz, Pierre . In: Management Science. RePEc:inm:ormnsc:v:62:y:2016:i:8:p:2198-2217.

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

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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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2016Estimating functions for noisy observations of ergodic diffusions. (2016). FAVETTO, BENJAMIN . In: Statistical Inference for Stochastic Processes. RePEc:spr:sistpr:v:19:y:2016:i:1:d:10.1007_s11203-015-9121-1.

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2016Estimating integrated co-volatility with partially miss-ordered high frequency data. (2016). Liu, Zhi . In: Statistical Inference for Stochastic Processes. RePEc:spr:sistpr:v:19:y:2016:i:2:d:10.1007_s11203-015-9124-y.

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2016Multivariate central limit theorems for averages of fractional Volterra processes and applications to parameter estimation. (2016). Nourdin, Ivan ; Zintout, Rola ; Nualart, David . In: Statistical Inference for Stochastic Processes. RePEc:spr:sistpr:v:19:y:2016:i:2:d:10.1007_s11203-015-9125-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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2016Realized Wishart-GARCH: A Score-driven Multi-Asset Volatility Model. (2016). Koopman, Siem Jan ; Hansen, Peter ; Janus, Pawel . In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20160061.

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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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2016Systemic co-jumps. (2016). Caporin, Massimiliano ; Reno, Roberto ; Kolokolov, Alexey . In: SAFE Working Paper Series. RePEc:zbw:safewp:149.

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2016Interconnectedness in the global financial market. (2016). Raddant, Matthias ; Kenett, Dror . In: Annual Conference 2016 (Augsburg): Demographic Change. RePEc:zbw:vfsc16:145560.

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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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paper3
2008A Range-Based Test for the Parametric Form of the Volatility in Diffusion Models.(2008) In: CREATES Research Papers.
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This paper has another version. Agregated cites: 3
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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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This paper has another version. Agregated cites: 17
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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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article
2007Microstructure Noise in the Continuous Case: The Pre-Averaging Approach - JLMPV-9 In: CREATES Research Papers.
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paper16
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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This paper has another version. Agregated cites: 10
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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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