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Bias-correcting the realized range-based variance in the presence of market microstructure noise
Christensen, Kim; Podolskij, Mark; Vetter, Mathias - In: Finance and stochastics 13 (2009) 2, pp. 239-268
Persistent link: https://www.econbiz.de/10003939513
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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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Asymptotic theory of range-based multipower variation
Christensen, Kim; Podolskij, Mark - In: Journal of financial econometrics : official journal of … 10 (2012) 3, pp. 417-456
Persistent link: https://www.econbiz.de/10009570933
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The realized empirical distribution function of stochastic variance with application to goodness-of-fit testing
Christensen, Kim; Thyrsgaard, Martin; Veliyev, Bezirgen - In: Journal of econometrics 212 (2019) 2, pp. 556-583
Persistent link: https://www.econbiz.de/10012304092
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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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The economic value of VIX ETPs
Christensen, Kim; Christiansen, Charlotte; Posselt, … - In: Journal of empirical finance 58 (2020), pp. 121-138
Persistent link: https://www.econbiz.de/10012430667
Cover Image
Bias-correcting the realized range-based variance in the presence of market microstructure noise
Christensen, Kim; Podolskij, Mark; Vetter, Mathias - In: Finance and stochastics 13 (2009) 2, pp. 239-268
Persistent link: https://www.econbiz.de/10008211979
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