Kim Christensen

Aarhus University - CREATES

Professor

Department of Economics and Business Economics

Fuglesangs Allé 4

Aarhus V, 8210

Denmark

SCHOLARLY PAPERS

15

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2,638

SSRN CITATIONS
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Top 6,347

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Scholarly Papers (15)

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 Economics and Management
Downloads 683 (36,993)
Citation 28

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 373 (79,000)
Citation 5

Abstract:

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

3.

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 305 (99,116)

Abstract:

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

4.

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 263 (116,107)
Citation 2

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

5.

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 252 (121,353)

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

6.

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 194 (156,394)
Citation 6

Abstract:

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

7.

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 Economics and Management
Downloads 121 (231,908)
Citation 2

Abstract:

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

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 100 (265,409)
Citation 1

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9.

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 Economics and Management, Heidelberg University and Aarhus University
Downloads 82 (301,102)
Citation 4

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

10.

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 Economics and Management
Downloads 70 (329,728)
Citation 1

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

11.

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 57 (366,198)
Citation 14

Abstract:

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12.

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

Paris December 2018 Finance Meeting EUROFIDAI - AFFI
Number of pages: 46 Posted: 04 Jun 2018 Last Revised: 26 Jan 2019
European Commission Joint Research Center - 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 53 (378,936)
Citation 1

Abstract:

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

13.

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, Aarhus University and Aarhus University
Downloads 41 (421,143)

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

14.

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 33 (454,157)
Citation 6

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

15.

The Economic Value of VIX ETPs

Number of pages: 58 Posted: 18 Sep 2019
Kim Christensen, Charlotte Christiansen and Anders Posselt
Aarhus University - CREATES, Aarhus University - CREATES and Aarhus University - CREATES
Downloads 11 (576,942)

Abstract:

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VIX; VIX ETPs; Portfolio diversification; Realized volatility; Mean-variance analysis