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Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data
Christensen, Kim; Kinnebrock, Silja; Podolskij, Mark - In: Journal of econometrics 159 (2010) 1, pp. 116-133
Persistent link: https://www.econbiz.de/10008839936
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Realised quantile-based estimation of the integrated variance
Christensen, Kim; Oomen, Roel; Podolskij, Mark - In: Journal of econometrics 159 (2010) 1, pp. 74-98
Persistent link: https://www.econbiz.de/10008839938
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Realized range-based estimation of integrated variance
Christensen, Kimberly; Podolskij, Mark - In: Journal of econometrics 141 (2007) 2, pp. 323-349
Persistent link: https://www.econbiz.de/10003571292
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Testing the parametric form of the volatility in continuous time diffusion models : a stochastic process approach
Dette, Holger; Podolskij, Mark - In: Journal of econometrics 143 (2008) 1, pp. 56-73
Persistent link: https://www.econbiz.de/10003722591
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Is the diurnal pattern sufficient to explain intraday variation in volatility? : a nonparametric assessment
Christensen, Kim; Hounyo, Ulrich; Podolskij, Mark - In: Journal of econometrics 205 (2018) 2, pp. 336-362
Persistent link: https://www.econbiz.de/10012110287
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Inference from high-frequency data : a subsampling approach
Christensen, Kimberly; Podolskij, Mark; Thamrongrat, Nopporn - In: Journal of econometrics 197 (2017) 2, pp. 245-272
Persistent link: https://www.econbiz.de/10011818358
Cover Image
Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data
Christensen, Kim; Kinnebrock, Silja; Podolskij, Mark - In: Journal of econometrics 159 (2010) 1, pp. 116-134
Persistent link: https://www.econbiz.de/10008455133
Cover Image
Realised quantile-based estimation of the integrated variance
Christensen, Kim; Oomen, Roel; Podolskij, Mark - In: Journal of econometrics 159 (2010) 1, pp. 74-99
Persistent link: https://www.econbiz.de/10008455135
Cover Image
Testing the parametric form of the volatility in continuous time diffusion models—a stochastic process approach
Dette, Holger; Podolskij, Mark - In: Journal of econometrics 143 (2008) 1, pp. 56-73
Persistent link: https://www.econbiz.de/10007899831
Cover Image
Realized range-based estimation of integrated variance
Christensen, Kim; Podolskij, Mark - In: Journal of econometrics 141 (2007) 2, pp. 323-349
Persistent link: https://www.econbiz.de/10007859786