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Podolskij, Mark's
Scholarly Papers
Click on the title of any column to sort the table by that
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Aggregate Statistics |
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Total
Downloads
1,126 |
Total
Citations
102 |
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1.
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Christensen, Kim
University of Aarhus - CREATES Oomen, Roel C. A.
Deutsche Bank AG Podolskij, Mark
University of Heidelberg - Institute of Applied Mathematics
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21 Jan 08
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Last Revised:
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29 Oct 10
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270
(54,289)
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20
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Finite activity jumps, Integrated variance, Market micro-structure noise, Order statistics, Realised variance
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2.
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Christensen, Kim
University of Aarhus - CREATES Podolskij, Mark
University of Heidelberg - Institute of Applied Mathematics
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09 Jun 05
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Last Revised:
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06 Sep 10
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239
(62,059)
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26
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Central Limit Theorem, Continuous Semimartingales, Integrated Variance, Realized Range-Based Variance, Realized Variance
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3.
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Christensen, Kim
University of Aarhus - CREATES Podolskij, Mark
University of Heidelberg - Institute of Applied Mathematics
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20 Apr 06
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Last Revised:
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26 Nov 11
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225
(66,225)
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High-frequency data, Integrated variance, Realised multipower variation, Realised range-based multipower variation, Quadratic variation
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4.
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Christensen, Kim
University of Aarhus - CREATES Podolskij, Mark
University of Heidelberg - Institute of Applied Mathematics Vetter, Mathias
University of Bochum
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11 Oct 06
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Last Revised:
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06 Sep 10
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170
(87,336)
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4
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Bias-correction, Integrated variance, Market microstructure noise, Realized range-based variance, Realized variance
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5.
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Podolskij, Mark
University of Heidelberg - Institute of Applied Mathematics Vetter, Mathias
University of Bochum Sommer, Margit
School of Economics and Management
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137
(105,762)
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25
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Bipower Variation, Central Limit Theorem, Finite Activity Jumps, High-Frequency Data, Integrated Volatility, Microstructure Noise, Semimartingale Theory, Subsampling
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6.
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Christensen, Kim
University of Aarhus - CREATES Oomen, Roel C. A.
Deutsche Bank AG Podolskij, Mark
University of Heidelberg - Institute of Applied Mathematics
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| Posted: |
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09 May 09
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Last Revised:
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30 Sep 09
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51
(198,445)
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21
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7.
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Christensen, Kim
University of Aarhus - CREATES Oomen, Roel C. A.
Deutsche Bank AG Podolskij, Mark
University of Heidelberg - Institute of Applied Mathematics
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| Posted: |
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20 Nov 12
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Last Revised:
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29 Jan 13
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15
(292,605)
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5
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8.
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Podolskij, Mark
University of Heidelberg - Institute of Applied Mathematics
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13
(299,823)
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Berry-Esseen bounds, Breuer-Major central limit theorems, Gaussian processes, Interpolation, Malliavin calculus, Stein’s method
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9.
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Christensen, Kim
University of Aarhus - CREATES Podolskij, Mark
University of Heidelberg - Institute of Applied Mathematics Vetter, Mathias
University of Bochum
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6
(322,185)
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1
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Central limit theorem, Hayashi-Yoshida estimator, high frequency observations, Itô semimartingale, pre-averaging, stable convergence
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10.
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Barndorff-Nielsen, Ole E.
University of Aarhus - Thiele Centre, Department of Mathematical Sciences Graversen, Svend Erik
University of Aarhus - Department of Mathematical Sciences Jacod, Jean
Université Paris VI Pierre et Marie Curie Podolskij, Mark
University of Heidelberg - Institute of Applied Mathematics Shephard, Neil
University of Oxford - Oxford-Man Institute
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Central limit theorem, quadratic variation, bipower variation
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Records 1 -
10
of 10 matches
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