Mark Podolskij : Citation Profile


Are you Mark Podolskij?

Aarhus Universitet
Eidgenössische Technische Hochschule Zürich (ETHZ)

13

H index

17

i10 index

565

Citations

RESEARCH PRODUCTION:

14

Articles

32

Papers

RESEARCH ACTIVITY:

   8 years (2004 - 2012). See details.
   Cites by year: 70
   Journals where Mark Podolskij has often published
   Relations with other researchers
   Recent citing documents: 73.    Total self citations: 36 (5.99 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/ppo225
   Updated: 2017-08-19    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 (34)

Caporin, Massimiliano (23)

Barndorff-Nielsen, Ole (19)

Hansen, Peter (18)

Andersen, Torben (17)

Veliyev, Bezirgen (15)

Patton, Andrew (15)

Sheppard, Kevin (14)

Renò, Roberto (13)

Christensen, Kim (13)

Voev, Valeri (12)

Cites to:

Barndorff-Nielsen, Ole (63)

Shephard, Neil (56)

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 (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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

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 ; Treccani, Adrien ; Trevisan, Christopher . In: Papers. RePEc:arx:papers:1704.08175.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2017Pathwise large deviations for the Rough Bergomi model. (2017). 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). Wang, Chao ; Gerlach, Richard ; Chen, Qian . In: Papers. RePEc:arx:papers:1707.03715.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

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

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

Full description at Econpapers || Download paper

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.

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

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.

Full description at Econpapers || Download paper

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.

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

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

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

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

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

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

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

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2016CLT for Lipschitz-Killing curvatures of excursion sets of Gaussian random fields. (2016). Kratz, Marie ; Vadlamani, Sreekar . In: Working Papers. RePEc:hal:wpaper:hal-01373091.

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

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2016Forecasting Covariance Matrices: A Mixed Approach. (2016). Halbleib, Roxana ; Voev, Valeri . In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:14:y:2016:i:2:p:383-417..

Full description at Econpapers || Download paper

2016The one-trading-day-ahead forecast errors of intra-day realized volatility. (2016). Degiannakis, Stavros . In: MPRA Paper. RePEc:pra:mprapa:80163.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2016Predicting Stock Return Volatility: Can We Benefit from Regression Models for Return Intervals?. (2016). Winker, Peter ; Blancofernandez, Angela . In: Journal of Forecasting. RePEc:wly:jforec:v:35:y:2016:i:2:p:113-146.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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]
paper9
2008Bipower variation for Gaussian processes with stationary increments.(2008) In: CREATES Research Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 9
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: 9
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]
paper15
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: 15
article
2008Bipower-type estimation in a noisy diffusion setting.(2008) In: Technical Reports.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 15
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]
paper44
2010Realised quantile-based estimation of the integrated variance.(2010) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 44
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]
paper65
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: 65
article
2009Understanding limit theorems for semimartingales: a short survey In: CREATES Research Papers.
[Full Text][Citation analysis]
paper23
2010Understanding limit theorems for semimartingales: a short survey.(2010) In: Statistica Neerlandica.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 23
article
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]
paper4
2011Quantitative Breuer-Major theorems.(2011) In: Stochastic Processes and their Applications.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 4
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]
paper28
2011Testing the local volatility assumption: a statistical approach In: CREATES Research Papers.
[Full Text][Citation analysis]
paper2
2012Testing the local volatility assumption: a statistical approach.(2012) In: Annals of Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 2
article
2011Fact or friction: Jumps at ultra high frequency In: CREATES Research Papers.
[Full Text][Citation analysis]
paper28
2011Asymptotic theory of range-based multipower variation In: CREATES Research Papers.
[Full Text][Citation analysis]
paper6
2011On covariation estimation for multivariate continuous Itô semimartingales with noise in non-synchronous observation schemes In: CREATES Research Papers.
[Full Text][Citation analysis]
paper26
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]
article13
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: 13
paper
2007Realized range-based estimation of integrated variance In: Journal of Econometrics.
[Full Text][Citation analysis]
article72
2008Testing the parametric form of the volatility in continuous time diffusion models--a stochastic process approach In: Journal of Econometrics.
[Full Text][Citation analysis]
article13
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]
article94
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: 94
paper
2004A Central Limit Theorem for Realised Power and Bipower Variations of Continuous Semimartingales In: Economics Papers.
[Full Text][Citation analysis]
paper40
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: 40
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: 40
paper
2009Bias-correcting the realized range-based variance in the presence of market microstructure noise In: Finance and Stochastics.
[Full Text][Citation analysis]
article11
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: 11
paper
2010New tests for jumps in semimartingale models In: Statistical Inference for Stochastic Processes.
[Full Text][Citation analysis]
article6
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]
paper10

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated June, 1st 2017. Contact: CitEc Team