Mark Podolskij

Aarhus University - School of Business and Social Sciences

Building 350

DK-8000 Aarhus C

Denmark

SCHOLARLY PAPERS

15

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1,939

SSRN CITATIONS
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Top 5,277

in Total Papers Citations

154

CROSSREF CITATIONS

98

Scholarly Papers (15)

1.

Fact or Friction: Jumps at Ultra High Frequency

Journal of Financial Economics (2014), vol. 114 (3), pp. 576-599.
Number of pages: 44 Posted: 22 May 2011 Last Revised: 19 Jul 2016
Kim Christensen, Roel C. A. Oomen and Mark Podolskij
Aarhus University - CREATES, Deutsche Bank AG (London) and Aarhus University - School of Business and Social Sciences
Downloads 780 (44,114)
Citation 41

Abstract:

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jump variation, high-frequency data, market microstructure noise, pre-averaging, realised variation, outliers

2.

Microstructure Noise in the Continuous Case: The Pre-Averaging Approach - JLMPV-9

CREATES Research Paper 2007-43
Number of pages: 32 Posted: 24 Jun 2008 Last Revised: 20 May 2010
Université Paris VI Pierre et Marie Curie, Hong Kong University of Science & Technology (HKUST), Dept of ISOM and Dept of FinanceHong Kong University of Science & Technology (HKUST) - Department of Information Systems, Business Statistics and Operations Management, University of Chicago - Department of Statistics, Aarhus University - School of Business and Social Sciences and Ruhr University of Bochum
Downloads 191 (215,385)
Citation 89

Abstract:

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consistency, continuity, discrete observation, Itý process, leverage effect, pre-averaging, quarticity, realized volatility, stable convergence

3.

Pre-Averaging Estimators of the Ex-Post Covariance Matrix in Noisy Diffusion Models with Non-Synchronous Data

Journal of Econometrics, Forthcoming
Number of pages: 50 Posted: 07 Oct 2009 Last Revised: 26 May 2010
Kim Christensen, Silja Kinnebrock and Mark Podolskij
Aarhus University - CREATES, University of Oxford and Aarhus University - School of Business and Social Sciences
Downloads 146 (269,799)
Citation 13

Abstract:

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Central limit theorem, Diffusion models, High-frequency data, Market microstructure noise, Non-synchronous trading, Pre-averaging, Realised covariance

4.

Inference from High-Frequency Data: A Subsampling Approach

Journal of Econometrics, Forthcoming
Number of pages: 73 Posted: 26 Sep 2015 Last Revised: 19 Jul 2016
Aarhus University - CREATES, Aarhus University - School of Business and Social Sciences, Heidelberg University and Aarhus University
Downloads 94 (368,680)
Citation 4

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bipower variation; high-frequency data; microstructure noise; positive semi-definite estimation; pre-averaging; stochastic volatility; subsampling

5.

New Tests for Jumps: A Threshold-Based Approach

CREATES Research Paper No. 2008-34
Number of pages: 34 Posted: 19 Jun 2008
Mark Podolskij and Daniel Ziggel
Aarhus University - School of Business and Social Sciences and Ruhr University of Bochum
Downloads 94 (368,680)
Citation 2

Abstract:

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Central Limit Theorem, High-Frequency Data, Microstructure Noise, Semimartingale Theory, Tests for Jumps, Truncated Power Variation

6.

An Econometric Analysis of Modulated Realised Covariance, Regression and Correlation in Noisy Diffusion Models

CREATES Research Paper No. 2008-23
Number of pages: 50 Posted: 25 Jun 2008
Silja Kinnebrock and Mark Podolskij
University of Oxford and Aarhus University - School of Business and Social Sciences
Downloads 93 (371,252)
Citation 3

Abstract:

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Central Limit Theorem, Diffusion Models, Market Microstructure Noise, Non-synchronous Trading, High-Frequency Data, Semimartingale Theory

7.

Is the Diurnal Pattern Sufficient to Explain Intraday Variation In Volatility? A Nonparametric Assessment

Number of pages: 60 Posted: 07 Sep 2016 Last Revised: 26 Mar 2018
Kim Christensen, Ulrich Hounyo and Mark Podolskij
Aarhus University - CREATES, University at Albany, SUNY and Aarhus University - School of Business and Social Sciences
Downloads 87 (386,755)
Citation 5

Abstract:

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Bipower variation; bootstrapping; diurnal variation; high-frequency data; microstructure noise; pre-averaging; time-varying volatility

8.

Understanding Limit Theorems for Semimartingales: A Short Survey

CREATES Research Paper No. 2009-47
Number of pages: 23 Posted: 07 Oct 2009
Mark Podolskij and Mathias Vetter
Aarhus University - School of Business and Social Sciences and Ruhr University of Bochum
Downloads 85 (392,229)
Citation 1

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central limit theorem, high frequency observations, semimartingale, stable convergence

9.

Multipower Variation for Brownian Semistationary Processes

CREATES Research Paper No. 2009-21
Number of pages: 47 Posted: 28 May 2009
University of Aarhus - Thiele Centre, Department of Mathematical Sciences, University of Barcelona - Faculty of Mathematics and Aarhus University - School of Business and Social Sciences
Downloads 74 (424,545)
Citation 10

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Central Limit Theorem, Gaussian Processes, Intermittency, Nonsemimartingales, Turbulence, Volatility, Wiener Chaos

10.

Bipower Variation for Gaussian Processes with Stationary Increments

Number of pages: 29 Posted: 22 Jun 2008
University of Aarhus - Thiele Centre, Department of Mathematical Sciences, University of Barcelona, Aarhus University - School of Business and Social Sciences and affiliation not provided to SSRN
Downloads 60 (473,043)
Citation 13

Abstract:

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Bipower Variation, Central Limit Theorem, Chaos Expansion, Gaussian Processes, Multiple Wiener-Itô Integrals

11.

Bipower-Type Estimation in a Noisy Diffusion Setting

CREATES Research Paper No. 2008-25
Number of pages: 44 Posted: 24 Jun 2008
Mark Podolskij and Mathias Vetter
Aarhus University - School of Business and Social Sciences and Ruhr University of Bochum
Downloads 54 (496,561)
Citation 19

Abstract:

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Bipower Variation, Central Limit Theorem, High-Frequency Data, Microstructure Noise, Quadratic Variation, Semimartingale Theory, Test for Jumps

12.

Limit Theorems for Moving Averages of Discretized Processes Plus Noise

Number of pages: 61 Posted: 02 Dec 2008
Jean Jacod, Mark Podolskij and Mathias Vetter
Université Paris VI Pierre et Marie Curie, Aarhus University - School of Business and Social Sciences and Ruhr University of Bochum
Downloads 51 (508,951)
Citation 29

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central limit theorem, high frequency observations, microstructure noise, quadratic variation, semimartingale, stable convergence

13.

Limit Theorems for Functionals of Higher Order Differences of Brownian Semi-Stationary Processes

CREATES Research Paper No. 2009-60
Number of pages: 28 Posted: 29 Dec 2009
University of Aarhus - Thiele Centre, Department of Mathematical Sciences, University of Barcelona - Faculty of Mathematics and Aarhus University - School of Business and Social Sciences
Downloads 49 (517,671)
Citation 2

Abstract:

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Brownian semi-stationary processes, central limit theorem, Gaussian processes, high frequency observations, higher order differences, multipower variation, stable convergence

14.

A Range-Based Test for the Parametric Form of the Volatility in Diffusion Models

CREATES Research Paper 2008-22
Number of pages: 25 Posted: 23 Jun 2008
Mark Podolskij and Daniel Ziggel
Aarhus University - School of Business and Social Sciences and Ruhr University of Bochum
Downloads 48 (522,179)
Citation 4

Abstract:

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Bipower Variation, Central Limit Theorem, Diffusion Models, Goodness-Of- Fit Testing, High-Frequency Data, Integrated Volatility, Range-Based Bipower Variation, Semimartingale Theory

15.

High-Dimensional Estimation of Quadratic Variation Based on Penalized Realized Variance

Number of pages: 36 Posted: 30 Mar 2021
Kim Christensen, Mikkel Slot Nielsen and Mark Podolskij
Aarhus University - CREATES, Columbia University and Aarhus University - School of Business and Social Sciences
Downloads 33 (597,862)

Abstract:

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Bernstein's inequality, LASSO estimation, low rank estimation, quadratic variation, rank recovery, realized variance, shrinkage estimator.