Mark Podolskij : Citation Profile


Are you Mark Podolskij?

Aarhus Universitet
Eidgenössische Technische Hochschule Zürich (ETHZ)

15

H index

19

i10 index

793

Citations

RESEARCH PRODUCTION:

13

Articles

32

Papers

RESEARCH ACTIVITY:

   8 years (2004 - 2012). See details.
   Cites by year: 99
   Journals where Mark Podolskij has often published
   Relations with other researchers
   Recent citing documents: 48.    Total self citations: 37 (4.46 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/ppo225
   Updated: 2021-03-01    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 (37)

Caporin, Massimiliano (26)

Barndorff-Nielsen, Ole (19)

Hansen, Peter (19)

Andersen, Torben (17)

Veliyev, Bezirgen (17)

Patton, Andrew (16)

Bollerslev, Tim (14)

Renò, Roberto (13)

Christensen, Kim (13)

Ait-Sahalia, Yacine (13)

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)

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

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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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2020Heteroscedasticity test of high-frequency data with jumps and microstructure noise. (2020). Liu, Zhi ; Zhang, Chuanhai. In: Papers. RePEc:arx:papers:2010.07659.

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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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2020Nonlinear and time-varying risk premia. (2020). Cai, Zongwu ; Mi, Xianhua ; Ma, Chaoqun. In: China Economic Review. RePEc:eee:chieco:v:62:y:2020:i:c:s1043951x2030064x.

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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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2020Testing for individual and time effects in the two-way error component model with time-invariant regressors. (2020). Wu, Jianhong ; Yue, Rongxian ; Chen, Jing. In: Economic Modelling. RePEc:eee:ecmode:v:92:y:2020:i:c:p:216-229.

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2020High-dimensional minimum variance portfolio estimation based on high-frequency data. (2020). Zheng, Xinghua ; Li, Yingying ; Hu, Jianchang ; Cai, Tony T. In: Journal of Econometrics. RePEc:eee:econom:v:214:y:2020:i:2:p:482-494.

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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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2020Liquidity and volatility in the U.S. Treasury market. (2020). Fleming, Michael ; Engle, Robert ; Ghysels, Eric ; Nguyen, Giang. In: Journal of Econometrics. RePEc:eee:econom:v:217:y:2020:i:2:p:207-229.

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2020Statistical inferences for price staleness. (2020). Pirino, Davide ; Livieri, Giulia ; Kolokolov, Aleksey. In: Journal of Econometrics. RePEc:eee:econom:v:218:y:2020:i:1:p:32-81.

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2020Volatility regressions with fat tails. (2020). Kim, Jihyun ; Meddahi, Nour. In: Journal of Econometrics. RePEc:eee:econom:v:218:y:2020:i:2:p:690-713.

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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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2020Economic indicators and stock market volatility in an emerging economy. (2020). Ryu, Doojin ; Cho, Hoon ; Chun, Dohyun. In: Economic Systems. RePEc:eee:ecosys:v:44:y:2020:i:2:s0939362518305594.

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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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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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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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2020Volatility estimation for stochastic PDEs using high-frequency observations. (2020). Trabs, Mathias ; Bibinger, Markus. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:130:y:2020:i:5:p:3005-3052.

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2021The Breuer–Major theorem in total variation: Improved rates under minimal regularity. (2021). Peccati, Giovanni ; Nualart, David ; Nourdin, Ivan. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:131:y:2021:i:c:p:1-20.

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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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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.

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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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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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2020Hybrid estimation for ergodic diffusion processes based on noisy discrete observations. (2020). Uchida, Masayuki ; Nakakita, Shogo H ; Kaino, Yusuke. In: Statistical Inference for Stochastic Processes. RePEc:spr:sistpr:v:23:y:2020:i:1:d:10.1007_s11203-019-09203-2.

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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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2020A comparison of conditional predictive ability of implied volatility and realized measures in forecasting volatility. (2020). Ai, Chunrong ; Shi, Yanlong ; Ying, Tingting. In: Journal of Forecasting. RePEc:wly:jforec:v:39:y:2020:i:7:p:1025-1034.

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

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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
paper
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
paper
2007Power variation for Gaussian processes with stationary increments In: CREATES Research Papers.
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paper12
2008Bipower variation for Gaussian processes with stationary increments.(2008) In: CREATES Research Papers.
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This paper has another version. Agregated cites: 12
paper
2009Power variation for Gaussian processes with stationary increments.(2009) In: Stochastic Processes and their Applications.
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This paper has another version. Agregated cites: 12
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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paper2
2008An Econometric Analysis of Modulated Realised Covariance, Regression and Correlation in Noisy Diffusion Models.(2008) In: OFRC Working Papers Series.
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This paper has another version. Agregated cites: 2
paper
2008Bipower-type estimation in a noisy diffusion setting In: CREATES Research Papers.
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paper25
2009Bipower-type estimation in a noisy diffusion setting.(2009) In: Stochastic Processes and their Applications.
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This paper has another version. Agregated cites: 25
article
2008Bipower-type estimation in a noisy diffusion setting.(2008) In: Technical Reports.
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This paper has another version. Agregated cites: 25
paper
2008New tests for jumps: a threshold-based approach In: CREATES Research Papers.
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paper3
2009Multipower Variation for Brownian Semistationary Processes In: CREATES Research Papers.
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paper2
2009Realised Quantile-Based Estimation of the Integrated Variance In: CREATES Research Papers.
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paper62
2010Realised quantile-based estimation of the integrated variance.(2010) In: Journal of Econometrics.
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This paper has another version. Agregated cites: 62
article
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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paper100
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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This paper has another version. Agregated cites: 100
article
2009Understanding limit theorems for semimartingales: a short survey In: CREATES Research Papers.
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paper1
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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paper6
2011Quantitative Breuer-Major theorems.(2011) In: Stochastic Processes and their Applications.
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This paper has another version. Agregated cites: 6
article
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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paper40
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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This paper has another version. Agregated cites: 4
article
2011Fact or friction: Jumps at ultra high frequency In: CREATES Research Papers.
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paper69
2011Asymptotic theory of range-based multipower variation In: CREATES Research Papers.
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paper14
2011On covariation estimation for multivariate continuous Itô semimartingales with noise in non-synchronous observation schemes In: CREATES Research Papers.
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paper33
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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article18
2004Estimation of integrated volatility in continuous time financial models with applications to goodness-of-fit testing.(2004) In: Technical Reports.
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This paper has another version. Agregated cites: 18
paper
2007Realized range-based estimation of integrated variance In: Journal of Econometrics.
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article107
2008Testing the parametric form of the volatility in continuous time diffusion models--a stochastic process approach In: Journal of Econometrics.
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article19
2008A note on the central limit theorem for bipower variation of general functions In: Stochastic Processes and their Applications.
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article14
2007A Note on the Central Limit Theorem for Bipower Variation of General Functions.(2007) In: OFRC Working Papers Series.
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This paper has another version. Agregated cites: 14
paper
2009Microstructure noise in the continuous case: The pre-averaging approach In: Stochastic Processes and their Applications.
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article138
2007Microstructure noise in the continuous case: the pre-averaging approach.(2007) In: Technical Reports.
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This paper has another version. Agregated cites: 138
paper
2004A Central Limit Theorem for Realised Power and Bipower Variations of Continuous Semimartingales In: Economics Papers.
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paper41
2004A Central Limit Theorem for Realised Power and Bipower Variations of Continuous Semimartingales.(2004) In: OFRC Working Papers Series.
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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.
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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.
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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
2010New tests for jumps in semimartingale models In: Statistical Inference for Stochastic Processes.
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article10
2005Testing the parametric form of the volatility in continuous time diffusion models: an empirical process approach In: Technical Reports.
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paper0
2006Range-Based Estimation of Quadratic Variation In: Technical Reports.
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paper16

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