Similar Search Results

Estimation of integrated volatility in continuous time financial models with applications to goodness-of-fit testing

Dette, Holger (contributor); Podolskij, Mark (contributor); … - 2004 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10002142062

Realised quantile-based estimation of the integrated variance

Christensen, Kim; Oomen, Roel; Podolskij, Mark - 2009

Persistent link: https://www.econbiz.de/10003849570

Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data

Christensen, Kim; Kinnebrock, Silja; Podolskij, Mark - 2009

Persistent link: https://www.econbiz.de/10003883608

Understanding limit theorems for semimartingales: a short survey

Podolskij, Mark; Vetter, Mathias - 2009

Persistent link: https://www.econbiz.de/10003883610

Pre-averaging based estimation of quadratic variation in the presence of noise and jumps : theory, implementation, and empirical evidence

Hautsch, Nikolaus; Podolskij, Mark - 2010

This paper provides theory as well as empirical results for pre-averaging estimators of the daily quadratic variation of asset prices. We derive jump robust inference for pre-averaging estimators, corresponding feasible central limit theorems and an explicit test on serial dependence in...