Mark Podolskij

University of Heidelberg - Institute of Applied Mathematics

Professor for Applied Probability

Grabengasse 1

Heidelberg, 69117

Germany

  • University of Heidelberg - Institute of Applied Mathematics

    • Email
    • Tel: 00496221546276
SCHOLARLY PAPERS

10

DOWNLOADS
Rank 33,374

SSRN RANKINGS

Top 33,374

in Total Papers Downloads

1,425

SSRN CITATIONS
Rank 9,424

SSRN RANKINGS

Top 9,424

in Total Papers Citations

35

CROSSREF CITATIONS

76

Scholarly Papers (10)

Actions:
Email selected abstracts
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 307 (103,742)

Abstract:

Loading...

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 265 (121,315)
Citation 2

Abstract:

Loading...

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 253 (127,410)

Abstract:

Loading...

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 University of Bochum
Downloads 196 (162,873)
Citation 6

Abstract:

Loading...

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 University of Bochum and School of Economics and Management, University of Aarhus
Downloads 172 (183,138)
Citation 39

Abstract:

Loading...

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 112 (257,466)
Citation 1

Abstract:

Loading...

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 61 (371,522)
Citation 14

Abstract:

Loading...

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 University of Bochum
Downloads 38 (453,880)
Citation 6

Abstract:

Loading...

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 (541,459)

Abstract:

Loading...

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
Ole E. Barndorff-Nielsen, Svend Erik Graversen, Jean Jacod, Mark Podolskij and Neil Shephard
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:

Loading...

Central limit theorem, quadratic variation, bipower variation