Mathias Vetter

Ruhr University of Bochum

Universitätsstraße 150

Bochum, NRW 44780

Germany

SCHOLARLY PAPERS

8

DOWNLOADS

745

SSRN CITATIONS
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Top 7,909

in Total Papers Citations

99

CROSSREF CITATIONS

36

Scholarly Papers (8)

1.

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 (162,420)
Citation 6

Abstract:

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

2.

Microstructure Noise in the Continuous Case: The Pre-Averaging Approach - JLMPV-9

CREATES Research Paper 2007-43
Number of pages: 32 Posted: 24 Jun 2008 Last Revised: 20 May 2010
Université Paris VI Pierre et Marie Curie, Hong Kong University of Science & Technology (HKUST), Dept of ISOM and Dept of Finance, University of Chicago - Department of Statistics, Aarhus University - School of Economics and Management and Ruhr University of Bochum
Downloads 174 (180,744)
Citation 60

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consistency, continuity, discrete observation, Itý process, leverage effect, pre-averaging, quarticity, realized volatility, stable convergence

3.

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 (182,591)
Citation 39

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

4.

Understanding Limit Theorems for Semimartingales: A Short Survey

CREATES Research Paper No. 2009-47
Number of pages: 23 Posted: 07 Oct 2009
Mark Podolskij and Mathias Vetter
Aarhus University - School of Economics and Management and Ruhr University of Bochum
Downloads 63 (364,494)
Citation 1

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central limit theorem, high frequency observations, semimartingale, stable convergence

5.

Bipower-Type Estimation in a Noisy Diffusion Setting

CREATES Research Paper No. 2008-25
Number of pages: 44 Posted: 24 Jun 2008
Mark Podolskij and Mathias Vetter
Aarhus University - School of Economics and Management and Ruhr University of Bochum
Downloads 52 (399,453)
Citation 16

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Bipower Variation, Central Limit Theorem, High-Frequency Data, Microstructure Noise, Quadratic Variation, Semimartingale Theory, Test for Jumps

6.

Limit Theorems for Moving Averages of Discretized Processes Plus Noise

Number of pages: 61 Posted: 02 Dec 2008
Jean Jacod, Mark Podolskij and Mathias Vetter
Université Paris VI Pierre et Marie Curie, Aarhus University - School of Economics and Management and Ruhr University of Bochum
Downloads 48 (413,430)
Citation 23

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central limit theorem, high frequency observations, microstructure noise, quadratic variation, semimartingale, stable convergence

7.

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 (452,715)
Citation 6

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

8.

Testing Non‐Parametric Hypotheses for Stationary Processes by Estimating Minimal Distances

Journal of Time Series Analysis, Vol. 32, Issue 5, pp. 447-461, 2011
Number of pages: 15 Posted: 09 Aug 2011
Holger Dette, Tatjana Kinsvater and Mathias Vetter
Ruhr University of Bochum - Faculty of Mathematics, affiliation not provided to SSRN and Ruhr University of Bochum
Downloads 2 (669,056)
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Abstract:

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Spectral density, stationary process, goodness‐of‐fit tests, L2‐distance, integrated periodogram, 62M15, 62G10