Kim Christensen

Aarhus University - CREATES

Professor

Department of Economics and Business Economics

Fuglesangs Allé 4

Aarhus V, 8210

Denmark

SCHOLARLY PAPERS

18

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3,659

SSRN CITATIONS
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SSRN RANKINGS

Top 6,816

in Total Papers Citations

68

CROSSREF CITATIONS

128

Scholarly Papers (18)

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:

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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 621 (53,013)
Citation 10

Abstract:

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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
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

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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:

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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:

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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:

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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:

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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:

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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:

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10.

The Economic Value of VIX ETPs

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

Abstract:

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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
Aarhus University - CREATES, Aarhus University - School of Business and Social Sciences, Heidelberg University and Aarhus University
Downloads 91 (341,497)
Citation 4

Abstract:

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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

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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

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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)

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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

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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
Aarhus University, Aarhus University - CREATES, Aarhus University and Imperial College London - Department of Mathematics
Downloads 18 (648,368)
Citation 2

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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:

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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:

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