Mark Podolskij

University of Heidelberg - Institute of Applied Mathematics

Professor for Applied Probability

Grabengasse 1

Heidelberg, 69117

Germany

SCHOLARLY PAPERS

10

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Scholarly Papers (10)

1.

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 (99,068)

Abstract:

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

2.

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 (116,057)
Citation 2

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

3.

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 (121,305)

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

4.

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 (156,324)
Citation 6

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

5.

Estimation of Volatility Functionals in the Simultaneous Presence of Microstructure Noise and Jumps

Number of pages: 37 Posted: 08 Dec 2006
Mark Podolskij, Mathias Vetter and Margit Sommer
University of Heidelberg - Institute of Applied Mathematics, Ruhr Universität Bochum and School of Economics and Management, University of Aarhus
Downloads 172 (174,122)
Citation 34

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Bipower Variation, Central Limit Theorem, Finite Activity Jumps, High-Frequency Data, Integrated Volatility, Microstructure Noise, Semimartingale Theory, Subsampling

6.

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 (265,304)
Citation 1

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7.

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 (366,055)
Citation 14

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8.

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 (453,992)
Citation 6

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

9.

Quantitative Breuer-Major Theorems

CREATES Research Paper No. 2010-22
Number of pages: 26 Posted: 06 Jun 2010
Mark Podolskij
University of Heidelberg - Institute of Applied Mathematics
Downloads 21 (516,729)

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Berry-Esseen bounds, Breuer-Major central limit theorems, Gaussian processes, Interpolation, Malliavin calculus, Stein’s method

10.

A Central Limit Theorem for Realised Power and Bipower Variations of Continuous Semimartingales

Nuffield College Economics Working Paper No. 2004-W29
Posted: 06 Dec 2004
University of Aarhus - Thiele Centre, Department of Mathematical Sciences, University of Aarhus - Department of Mathematical Sciences, Université Paris VI Pierre et Marie Curie, University of Heidelberg - Institute of Applied Mathematics and Harvard University

Abstract:

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Central limit theorem, quadratic variation, bipower variation