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~person:"Andersen, Torben"
~person:"Christensen, Kim"
~person:"Podolskij, Mark"
~subject:"Nichtparametrisches Verfahren"
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Andersen, Torben
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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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2
Fact or friction : jumps at ultra high frequency
Christensen, Kimberly
;
Oomen, Roel C. A.
;
Podolskij, Mark
- In:
Journal of financial economics
114
(
2014
)
3
,
pp. 576-599
Persistent link: https://www.econbiz.de/10010532687
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3
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
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4
Intraday cross-sectional distributions of systematic risk
Andersen, Torben
;
Riva, Raul
;
Thyrsgaard, Martin
; …
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 1394-1418
Persistent link: https://www.econbiz.de/10014471397
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