Kim Christensen

Aarhus University - CREATES

Professor

Department of Economics and Business Economics

Fuglesangs Allé 4

Aarhus V, 8210

Denmark

SCHOLARLY PAPERS

21

DOWNLOADS
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Top 17,064

in Total Papers Downloads

6,842

SSRN CITATIONS
Rank 6,273

SSRN RANKINGS

Top 6,273

in Total Papers Citations

141

CROSSREF CITATIONS

128

Scholarly Papers (21)

1.

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 1,512

Abstract:

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

2.

Do Designated Market Makers Provide Liquidity During Extreme Price Movements?

SAFE Working Paper No. 270
Number of pages: 54 Posted: 24 Mar 2020 Last Revised: 16 Jan 2024
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 ESSEC Business School
Downloads 880 (49,264)
Citation 5

Abstract:

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designated market makers (DMMs); extreme price movements (EPMs); high- frequency traders (HFTs); liquidity provision.

3.

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 ESSEC Business School
Downloads 873 (49,899)
Citation 10

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

4.

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 871 (49,969)
Citation 58

Abstract:

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

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 347 (155,281)
Citation 1

Abstract:

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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 325 (166,695)
Citation 2

Abstract:

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

7.

Warp Speed Price Moves: Jumps after Earnings Announcements

Number of pages: 98 Posted: 25 Apr 2023 Last Revised: 08 Jan 2024
Kim Christensen, Allan Timmermann and Bezirgen Veliyev
Aarhus University - CREATES, University of California, San Diego (UCSD) - Rady School of Management and Aarhus University
Downloads 303 (179,503)

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After-hours trading; earnings announcements; jump testing; high-frequency data; market efficiency; price discovery.

8.

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 282 (193,424)

Abstract:

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

9.

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 224 (242,772)
Citation 6

Abstract:

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

10.

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 194 (277,087)
Citation 30

Abstract:

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

11.

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 177 (302,046)
Citation 1

Abstract:

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12.

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 150 (345,924)
Citation 1

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

13.

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 127 (394,186)
Citation 6

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

14.

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 118 (416,511)
Citation 11

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

15.

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 105 (453,525)
Citation 2

Abstract:

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GMM estimation; realized variance; rough volatility; stochastic volatility

16.

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 89 (506,141)
Citation 15

Abstract:

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17.

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 78 (548,110)

Abstract:

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

18.

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 73 (569,100)
Citation 9

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

19.

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 53 (679,290)

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

20.

An Unbounded Intensity Model for Point Processes

Number of pages: 44 Posted: 25 Jul 2023
Kim Christensen and Aleksey Kolokolov
Aarhus University - CREATES and University of Manchester - Manchester Business School
Downloads 32 (808,977)

Abstract:

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Cox process; heavy traffic; high-frequency data; intensity burst; order imbalance; point process; slope of the order book; trading activity.

21.

Do Designated Market Makers Provide Liquidity During Extreme Price Movements?

Number of pages: 58 Posted: 24 Jan 2024
affiliation not provided to SSRN, Aarhus University - CREATES, affiliation not provided to SSRN, Goethe University Frankfurt - Faculty of Economics and Business Administration and ESSEC Business School
Downloads 29 (833,256)

Abstract:

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designated market makers (DMMs), extreme price movements (EPMs), high-frequency traders (HFTs), liquidity provision.