Kim Christensen

Aarhus University - CREATES

Professor

Department of Economics and Business Economics

Fuglesangs Allé 4

Aarhus V, 8210

Denmark

  • Aarhus University - CREATES

SCHOLARLY PAPERS

18

DOWNLOADS
Rank 16,817

SSRN RANKINGS

Top 16,817

in Total Papers Downloads

3,659

SSRN CITATIONS
Rank 6,816

SSRN RANKINGS

Top 6,816

in Total Papers Citations

68

CROSSREF CITATIONS

128

Scholarly Papers (18)

Actions:
Email selected abstracts
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 755 (40,880)
Citation 41

Abstract:

Loading...

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

2.

The Drift Burst Hypothesis

Number of pages: 58 Posted: 24 Sep 2016 Last Revised: 08 Aug 2018
Kim Christensen, Roel C. A. Oomen and Roberto Renò
Aarhus University - CREATES, Deutsche Bank AG (London) and University of Verona - Department of Economics
Downloads 621 (53,013)
Citation 10

Abstract:

Loading...

flash crashes; gradual jumps; volatility bursts; liquidity; nonparametric statistics; microstructure noise

3.

High-Frequency Trading During Flash Crashes: Walk of Fame or Hall of Shame?

SAFE Working Paper No. 270
Number of pages: 68 Posted: 24 Mar 2020 Last Revised: 08 Sep 2020
Mario Bellia, Kim Christensen, Aleksey Kolokolov, Loriana Pelizzon and Roberto Renò
European Union - JRC-Ispra, European Commision, Aarhus University - CREATES, University of Manchester - Manchester Business School, Goethe University Frankfurt - Faculty of Economics and Business Administration and University of Verona - Department of Economics
Downloads 466 (76,067)
Citation 5

Abstract:

Loading...

flash crashes; high-frequency traders (HFTs); liquidity provision; market making

4.

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 322 (115,863)
Citation 1

Abstract:

Loading...

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

5.

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 283 (132,803)
Citation 2

Abstract:

Loading...

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

6.

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 258 (146,028)

Abstract:

Loading...

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

7.

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 University of Bochum
Downloads 201 (185,476)
Citation 6

Abstract:

Loading...

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

8.

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 139 (253,919)
Citation 10

Abstract:

Loading...

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

9.

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 122 (280,297)
Citation 1

Abstract:

Loading...

10.

The Economic Value of VIX ETPs

Number of pages: 65 Posted: 18 Sep 2019 Last Revised: 23 Apr 2020
Kim Christensen, Charlotte Christiansen and Anders Merrild Posselt
Aarhus University - CREATES, Aarhus University - CREATES and Aarhus University - CREATES
Downloads 105 (311,283)
Citation 1

Abstract:

Loading...

VIX; VIX ETPs; VIX Premium; Economic value; Portfolio diversification

11.

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
Kim Christensen, Mark Podolskij, Nopporn Thamrongrat and Bezirgen Veliyev
Aarhus University - CREATES, Aarhus University - School of Business and Social Sciences, Heidelberg University and Aarhus University
Downloads 91 (341,497)
Citation 4

Abstract:

Loading...

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

12.

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 Business and Social Sciences
Downloads 83 (361,379)
Citation 5

Abstract:

Loading...

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

13.

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 64 (417,162)
Citation 15

Abstract:

Loading...

14.

The Realized Empirical Distribution Function of Stochastic Variance with Application to Goodness-of-Fit Testing

Number of pages: 48 Posted: 24 Jul 2018 Last Revised: 25 Jun 2019
Kim Christensen, Martin Thyrsgaard and Bezirgen Veliyev
Aarhus University - CREATES, Northwestern University - Kellogg School of Management and Aarhus University
Downloads 56 (445,343)

Abstract:

Loading...

empirical processes; goodness-of-fit; high-frequency data; microstructure noise; pre-averaging; realized variance; stochastic volatility

15.

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 University of Bochum
Downloads 46 (484,613)
Citation 9

Abstract:

Loading...

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

16.

Roughness in Spot Variance? A GMM Approach for Estimation of Fractional Log-Normal Stochastic Volatility Models Using Realized Measures

Number of pages: 45 Posted: 25 Nov 2020
Anine Eg Bolko, Kim Christensen, Bezirgen Veliyev and Mikko Pakkanen
Aarhus University, Aarhus University - CREATES, Aarhus University and Imperial College London - Department of Mathematics
Downloads 18 (648,368)
Citation 2

Abstract:

Loading...

GMM estimation; realized variance; rough volatility; stochastic volatility

17.

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 17 (648,368)

Abstract:

Loading...

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

18.

A Machine Learning Approach To Volatility Forecasting

Number of pages: 47
Kim Christensen, Mathias Siggaard and Bezirgen Veliyev
Aarhus University - CREATES, Aarhus University and Aarhus University
Downloads 12

Abstract:

Loading...

gradient boosting, high-frequency data, machine learning, neural network, random forest, realized variance, regularization, volatility forecasting