Mark Podolskij

Aarhus University - School of Economics and Management

Building 350

DK-8000 Aarhus C

Denmark

SCHOLARLY PAPERS

14

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Scholarly Papers (14)

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 Economics and Management
Downloads 683 (36,972)
Citation 28

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 Finance, University of Chicago - Department of Statistics, Aarhus University - School of Economics and Management and Ruhr Universität Bochum
Downloads 170 (175,927)
Citation 55

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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 Economics and Management
Downloads 121 (231,748)
Citation 2

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

4.

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 Economics and Management and Ruhr Universität Bochum
Downloads 83 (298,614)
Citation 2

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

5.

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 Economics and Management, Heidelberg University and Aarhus University
Downloads 82 (300,922)
Citation 4

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

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 Economics and Management
Downloads 82 (300,922)
Citation 3

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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, Aarhus University - CREATES and Aarhus University - School of Economics and Management
Downloads 70 (329,545)
Citation 1

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

8.

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 Economics and Management
Downloads 66 (340,036)
Citation 10

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

9.

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 Economics and Management and Ruhr Universität Bochum
Downloads 61 (353,992)

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

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 Economics and Management and affiliation not provided to SSRN
Downloads 56 (369,176)
Citation 13

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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 Economics and Management and Ruhr Universität Bochum
Downloads 52 (381,886)
Citation 14

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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 Economics and Management and Ruhr Universität Bochum
Downloads 46 (402,410)
Citation 18

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

13.

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 Economics and Management and Ruhr Universität Bochum
Downloads 42 (417,120)
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

14.

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 Economics and Management
Downloads 33 (453,886)
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