.
Podolskij, Mark's
Scholarly Papers
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column.
Aggregate Statistics
Total 860
Total Citations 80
1.
Christensen, Kim University of Aarhus - CREATES
Oomen, Roel C. A. Deutsche Bank AG
Podolskij, Mark University of Aarhus - School of Economics and Management
Posted:
22 May 11
Last Revised:
20 Feb 13
307(46,887)
6
jump variation, high-frequency data, market microstructure noise, pre-averaging, realised variation, outliers
2.
Jacod, Jean Université Paris VI Pierre et Marie Curie
Li, Yingying Hong Kong University of Science & Technology (HKUST) - Department of Information Systems, Business Statistics and Operations Management
Mykland, Per A. University of Chicago - Department of Statistics
Podolskij, Mark University of Aarhus - School of Economics and Management
Vetter, Mathias University of Bochum
Posted:
24 Jun 08
Last Revised:
20 May 10
128(111,991)
40
consistency, continuity, discrete observation, Itý process, leverage effect, pre-averaging, quarticity, realized volatility, stable convergence
3.
Christensen, Kim University of Aarhus - CREATES
Kinnebrock, Silja University of Oxford
Podolskij, Mark University of Aarhus - School of Economics and Management
Posted:
07 Oct 09
Last Revised:
26 May 10
71(167,944)
10
Central limit theorem, Diffusion models, High-frequency data, Market microstructure noise, Non-synchronous trading, Pre-averaging, Realised covariance
4.
Kinnebrock, Silja University of Oxford
Podolskij, Mark University of Aarhus - School of Economics and Management
70(169,323)
1
Central Limit Theorem, Diffusion Models, Market Microstructure Noise, Non-synchronous Trading, High-Frequency Data, Semimartingale Theory
5.
Podolskij, Mark University of Aarhus - School of Economics and Management
Ziggel, Daniel University of Bochum
63(179,238)
1
Central Limit Theorem, High-Frequency Data, Microstructure Noise, Semimartingale Theory, Tests for Jumps, Truncated Power Variation
6.
Barndorff-Nielsen, Ole E. University of Aarhus - Thiele Centre, Department of Mathematical Sciences
Corcuera, José Manuel University of Barcelona
Podolskij, Mark University of Aarhus - School of Economics and Management
Woerner, Jeanette affiliation not provided to SSRN
44(211,727)
2
Bipower Variation, Central Limit Theorem, Chaos Expansion, Gaussian Processes, Multiple Wiener-Itô Integrals
7.
Podolskij, Mark University of Aarhus - School of Economics and Management
Vetter, Mathias University of Bochum
40(219,818)
11
Bipower Variation, Central Limit Theorem, High-Frequency Data, Microstructure Noise, Quadratic Variation, Semimartingale Theory, Test for Jumps
8.
Barndorff-Nielsen, Ole E. University of Aarhus - Thiele Centre, Department of Mathematical Sciences
Corcuera, José Manuel University of Barcelona - Faculty of Mathematics
Podolskij, Mark University of Aarhus - School of Economics and Management
39(221,887)
4
Central Limit Theorem, Gaussian Processes, Intermittency, Nonsemimartingales, Turbulence, Volatility, Wiener Chaos
9.
Jacod, Jean Université Paris VI Pierre et Marie Curie
Podolskij, Mark University of Aarhus - School of Economics and Management
Vetter, Mathias University of Bochum
30(243,261)
4
central limit theorem, high frequency observations, microstructure noise, quadratic variation, semimartingale, stable convergence
10.
Podolskij, Mark University of Aarhus - School of Economics and Management
Ziggel, Daniel University of Bochum
30(243,261)
Bipower Variation, Central Limit Theorem, Diffusion Models, Goodness-Of- Fit Testing, High-Frequency Data, Integrated Volatility, Range-Based Bipower Variation, Semimartingale Theory
11.
Podolskij, Mark University of Aarhus - School of Economics and Management
Vetter, Mathias University of Bochum
23(264,861)
1
central limit theorem, high frequency observations, semimartingale, stable convergence
12.
Barndorff-Nielsen, Ole E. University of Aarhus - Thiele Centre, Department of Mathematical Sciences
Corcuera, José Manuel University of Barcelona - Faculty of Mathematics
Podolskij, Mark University of Aarhus - School of Economics and Management
15(292,891)
Brownian semi-stationary processes, central limit theorem, Gaussian processes, high frequency observations, higher order differences, multipower variation, stable convergence
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