Kim Christensen

Aarhus University - CREATES

PhD

Department of Economics and Business Economics

Fuglesangs Allé 4

Aarhus V, 8210

Denmark

SCHOLARLY PAPERS

12

DOWNLOADS
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CITATIONS
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86

Scholarly Papers (12)

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 University of Aarhus - School of Economics and Management
Downloads 499 (35,412)
Citation 5

Abstract:

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

2.

Realised Quantile-Based Estimation of the Integrated Variance

Journal of Econometrics, Vol 159, No. 1, pp. 74-98, 2010
Number of pages: 54 Posted: 21 Jan 2008 Last Revised: 29 Oct 2010
Kim Christensen, Roel C. A. Oomen and Mark Podolskij
Aarhus University - CREATES, Deutsche Bank AG (London) and University of Heidelberg - Institute of Applied Mathematics
Downloads 282 (82,422)
Citation 18

Abstract:

Finite activity jumps, Integrated variance, Market micro-structure noise, Order statistics, Realised variance

3.

Realized Range-Based Estimation of Integrated Variance

Journal of Econometrics, Vol. 141, No. 2, 2007
Number of pages: 40 Posted: 09 Jun 2005 Last Revised: 06 Sep 2010
Kim Christensen and Mark Podolskij
Aarhus University - CREATES and University of Heidelberg - Institute of Applied Mathematics
Downloads 253 (95,993)
Citation 25

Abstract:

Central Limit Theorem, Continuous Semimartingales, Integrated Variance, Realized Range-Based Variance, Realized Variance

4.

Asymptotic Theory of Range-Based Multipower Variation

Journal of Financial Econometrics, Forthcoming
Number of pages: 53 Posted: 20 Apr 2006 Last Revised: 26 Nov 2011
Kim Christensen and Mark Podolskij
Aarhus University - CREATES and University of Heidelberg - Institute of Applied Mathematics
Downloads 241 (98,828)

Abstract:

High-frequency data, Integrated variance, Realised multipower variation, Realised range-based multipower variation, Quadratic variation

5.

Bias-Correcting the Realized Range-Based Variance in the Presence of Market Microstructure Noise

Finance Stochastics, Vol. 13, No. 2, 2009
Number of pages: 37 Posted: 11 Oct 2006 Last Revised: 06 Sep 2010
Kim Christensen, Mark Podolskij and Mathias Vetter
Aarhus University - CREATES, University of Heidelberg - Institute of Applied Mathematics and Ruhr Universität Bochum
Downloads 179 (131,971)
Citation 4

Abstract:

Bias-correction, Integrated variance, Market microstructure noise, Realized range-based variance, Realized variance

6.

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 University of Aarhus - School of Economics and Management
Downloads 76 (228,269)
Citation 10

Abstract:

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

7.

Appendix to Realised Quantile-Based Estimation of the Integrated Variance

Number of pages: 10 Posted: 09 May 2009 Last Revised: 30 Sep 2009
Kim Christensen, Roel C. A. Oomen and Mark Podolskij
Aarhus University - CREATES, Deutsche Bank AG (London) and University of Heidelberg - Institute of Applied Mathematics
Downloads 54 (302,430)
Citation 19

Abstract:

8.

Appendix to Fact or Friction: Jumps at Ultra High Frequency

Number of pages: 38 Posted: 20 Nov 2012 Last Revised: 29 Jan 2013
Kim Christensen, Roel C. A. Oomen and Mark Podolskij
Aarhus University - CREATES, Deutsche Bank AG (London) and University of Heidelberg - Institute of Applied Mathematics
Downloads 46 (285,288)
Citation 3

Abstract:

9.

On Covariation Estimation for Multivariate Continuous Itô Semimartingales with Noise in Non-Synchronous Observation Schemes

Journal of Multivariate Analysis, Forthcoming
Number of pages: 41 Posted: 04 May 2012 Last Revised: 14 Jun 2014
Kim Christensen, Mark Podolskij and Mathias Vetter
Aarhus University - CREATES, University of Heidelberg - Institute of Applied Mathematics and Ruhr Universität Bochum
Downloads 15 (400,296)
Citation 2

Abstract:

Central limit theorem, Hayashi-Yoshida estimator, high frequency observations, Itô semimartingale, pre-averaging, stable convergence

10.

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, University of Aarhus - School of Economics and Management, University of Heidelberg and Aarhus University
Downloads 4 (299,896)

Abstract:

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

11.

The Drift Burst Hypothesis

Number of pages: 52 Posted: 24 Sep 2016 Last Revised: 28 Jan 2017
Kim Christensen, Roel C. A. Oomen and Roberto Renò
Aarhus University - CREATES, Deutsche Bank AG (London) and University of Verona - Department of Economics
Downloads 0 (201,719)

Abstract:

drift bursts; flash crashes; liquidity; volatility bursts; non-parametric statistics; reversals

12.

Testing for Heteroscedasticity in Jumpy and Noisy High-frequency Data: A Resampling Approach

Number of pages: 47 Posted: 07 Sep 2016
Kim Christensen, Ulrich Hounyo and Mark Podolskij
Aarhus University - CREATES, University of Aarhus - CREATES and University of Aarhus - School of Economics and Management
Downloads 0 (346,285)

Abstract:

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