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Vetter, Mathias's
Scholarly Papers
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Aggregate Statistics |
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Total
Downloads
536 |
Total
Citations
86 |
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1.
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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
(87,474)
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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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2.
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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
(105,937)
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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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3.
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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
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24 Jun 08
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Last Revised:
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20 May 10
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128
(112,045)
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40
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consistency, continuity, discrete observation, Itý process, leverage effect, pre-averaging, quarticity, realized volatility, stable convergence
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4.
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Podolskij, Mark
University of Aarhus - School of Economics and Management Vetter, Mathias
University of Bochum
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40
(219,905)
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11
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Bipower Variation, Central Limit Theorem, High-Frequency Data, Microstructure Noise, Quadratic Variation, Semimartingale Theory, Test for Jumps
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5.
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Jacod, Jean
Université Paris VI Pierre et Marie Curie Podolskij, Mark
University of Aarhus - School of Economics and Management Vetter, Mathias
University of Bochum
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30
(243,365)
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4
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central limit theorem, high frequency observations, microstructure noise, quadratic variation, semimartingale, stable convergence
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6.
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Podolskij, Mark
University of Aarhus - School of Economics and Management Vetter, Mathias
University of Bochum
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23
(264,982)
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1
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central limit theorem, high frequency observations, semimartingale, stable convergence
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7.
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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
(322,614)
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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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8.
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Dette, Holger
University of Bochum - Faculty of Mathematics Kinsvater, Tatjana
affiliation not provided to SSRN Vetter, Mathias
University of Bochum
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2
(335,975)
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Spectral density, stationary process, goodness‐of‐fit tests, L2‐distance, integrated periodogram, 62M15, 62G10
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Records 1 -
8
of 8 matches
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