Margit Sommer

School of Economics and Management, University of Aarhus

CREATES Research Papers

School of Economics and Management

Building 1322, Bartholins Alle 10

DK-8000 Aarhus C

Denmark

School of Economics and Management

Building 350

DK-8000 Aarhus C

Denmark

CREATES Research Papers

CREATES Research Papers

School of Economics and Management

Building 1322, Bartholins Alle 10

DK-8000 Aarhus C

Denmark

SCHOLARLY PAPERS

6

DOWNLOADS

730

SSRN CITATIONS
Rank 14,331

SSRN RANKINGS

Top 14,331

in Total Papers Citations

40

CROSSREF CITATIONS

24

Scholarly Papers (6)

1.

Continuous-Time Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns

CREATES Research Paper No. 2007-21
Number of pages: 74 Posted: 23 Jun 2008 Last Revised: 02 Dec 2008
Northwestern University - Kellogg School of Management, Duke University - Finance, BlackRock, Inc, Queen's University - Department of Economics and School of Economics and Management, University of Aarhus
Downloads 232 (136,889)
Citation 12

Abstract:

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Return distributions, continuous-time models, mixture-of-distributions hypothesis, financial-time sampling, high-frequency data, volatility signature plots, realized volatilities, jumps, leverage and volatility feedback effects

2.

The Pearson Diffusions: A Class of Statistically Tractable Diffusion Processes

Number of pages: 34 Posted: 23 Jun 2008
Michael Sorensen, Julie Lyng Forman and Margit Sommer
University of Copenhagen - Institute for Mathematical Sciences, affiliation not provided to SSRN and School of Economics and Management, University of Aarhus
Downloads 204 (154,735)
Citation 1

Abstract:

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eigenfunction, ergodic diffusion, integrated diffusion, martingale estimating function, likelihood inference, mixing, optimal estimating function, Pearson system, prediction based estimating function, quasi likelihood, spectral methods,stochastic differential equation, stochastic volatility

3.

Estimation of Volatility Functionals in the Simultaneous Presence of Microstructure Noise and Jumps

Number of pages: 37 Posted: 08 Dec 2006
Mark Podolskij, Mathias Vetter and Margit Sommer
University of Heidelberg - Institute of Applied Mathematics, Ruhr University of Bochum and School of Economics and Management, University of Aarhus
Downloads 172 (180,598)
Citation 39

Abstract:

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Bipower Variation, Central Limit Theorem, Finite Activity Jumps, High-Frequency Data, Integrated Volatility, Microstructure Noise, Semimartingale Theory, Subsampling

Likelihood Inference for a Fractionally Cointegrated Vector Autoregressive Model

CREATES Research Paper No. 2010-24
Number of pages: 46 Posted: 02 Jun 2010
University of Copenhagen - Department of Economics, Queen's University - Department of Economics and School of Economics and Management, University of Aarhus
Downloads 60 (374,961)
Citation 8

Abstract:

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Cofractional processes, cointegration rank, fractional cointegration, likelihood inference, vector autoregressive model

5.

Likelihood Inference for a Nonstationary Fractional Autoregressive Model

Number of pages: 47 Posted: 23 Jun 2008
University of Copenhagen - Department of Economics, Queen's University - Department of Economics and School of Economics and Management, University of Aarhus
Downloads 34 (465,589)
Citation 19

Abstract:

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Dickey-Fuller test, fractional unit root, likelihood inference

6.

Nearly Efficient Likelihood Ratio Tests for Seasonal Unit Roots

CREATES Research Paper 2009-55
Number of pages: 19 Posted: 28 Nov 2009
University of California, Berkeley - Department of Economics, Queen's University - Department of Economics and School of Economics and Management, University of Aarhus
Downloads 28 (494,864)

Abstract:

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Likelihood Ratio Test, Seasonal Unit Root Hypothesis