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

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4,368

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69

CROSSREF CITATIONS

129

Scholarly Papers (18)

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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 782 (45,161)
Citation 41

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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 732 (49,335)
Citation 10

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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 589 (65,326)
Citation 6

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

4.

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 335

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

5.

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 327 (130,241)
Citation 1

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

6.

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 292 (146,533)
Citation 2

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

7.

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 264 (162,340)

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

8.

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 (210,485)
Citation 6

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

9.

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 155 (262,898)
Citation 13

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

10.

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 130 (301,718)
Citation 1

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11.

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 123 (314,348)
Citation 1

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

12.

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 94 (376,759)
Citation 4

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

13.

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 89 (389,695)
Citation 5

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

14.

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 65 (464,269)
Citation 15

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15.

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 57 (494,697)

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

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 49 (528,684)
Citation 2

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GMM estimation; realized variance; rough volatility; stochastic volatility

17.

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 49 (528,684)
Citation 9

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

18.

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 35 (599,388)

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