Access Statistics for Mark Podolskij

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Central Limit Theorem for Realised Power and Bipower Variations of Continuous Semimartingales 0 1 1 94 4 6 8 368
A Central Limit Theorem for Realised Power and Bipower Variations of Continuous Semimartingales 0 0 0 271 2 6 9 799
A Note on the Central Limit Theorem for Bipower Variation of General Functions 0 0 0 70 1 6 8 254
A Range-Based Test for the Parametric Form of the Volatility in Diffusion Models 0 0 0 43 4 6 6 123
A Range-Based Test for the Parametric Form of the Volatility in Diffusion Models 0 0 0 9 0 0 0 86
A central limit theorem for realised power and bipower variations of continuous semimartingales 0 0 0 29 1 5 7 122
An Econometric Analysis of Modulated Realised Covariance, Regression and Correlation in Noisy Diffusion Models 0 0 0 63 3 5 7 151
An Econometric Analysis of Modulated Realised Covariance, Regression and Correlation in Noisy Diffusion Models 0 0 0 33 3 4 5 108
Asymptotic theory of range-based multipower variation 0 0 0 36 2 3 5 144
Bias-Correcting the Realized Range-Based Variance in the Presence of Market Microstructure Noise 0 0 0 11 5 6 9 118
Bipower variation for Gaussian processes with stationary increments 0 0 0 37 3 3 6 109
Bipower-type estimation in a noisy diffusion setting 0 0 0 7 6 9 11 79
Bipower-type estimation in a noisy diffusion setting 0 0 0 25 4 6 9 103
Estimation of Volatility Functionals in the Simultaneous Presence of Microstructure Noise and Jumps 0 0 0 21 1 5 6 89
Estimation of Volatility Functionals in the Simultaneous Presence of Microstructure Noise and Jumps 0 0 1 64 0 1 2 203
Estimation of integrated volatility in continuous time financial models with applications to goodness-of-fit testing 0 0 0 11 3 6 6 50
Fact or friction: Jumps at ultra high frequency 0 0 0 98 2 6 12 257
Limit theorems for functionals of higher order differences of Brownian semi-stationary processes 0 0 0 30 5 7 9 126
Microstructure Noise in the Continuous Case: The Pre-Averaging Approach - JLMPV-9 0 0 0 59 7 8 14 189
Microstructure noise in the continuous case: the pre-averaging approach 0 0 0 17 3 6 12 121
Multipower Variation for Brownian Semistationary Processes 0 0 0 37 2 4 5 134
New tests for jumps: a threshold-based approach 0 0 0 49 1 3 4 106
On covariation estimation for multivariate continuous Itô semimartingales with noise in non-synchronous observation schemes 0 0 0 15 1 3 6 63
Power variation for Gaussian processes with stationary increments 0 0 0 83 2 4 4 237
Pre-Averaging Based Estimation of Quadratic Variation in the Presence of Noise and Jumps: Theory, Implementation, and Empirical Evidence 0 0 0 85 3 8 11 242
Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data 0 0 0 81 1 9 14 378
Quantitative Breuer-Major Theorems 0 0 0 15 3 4 7 88
Range-Based Estimation of Quadratic Variation 0 0 0 30 3 4 5 150
Realised Quantile-Based Estimation of the Integrated Variance 0 0 0 101 1 4 8 336
Testing the local volatility assumption: a statistical approach 0 0 0 50 3 4 5 122
Testing the parametric form of the volatility in continuous time diffusion models: an empirical process approach 0 0 0 15 1 5 5 64
Understanding limit theorems for semimartingales: a short survey 0 0 0 64 3 3 4 134
Total Working Papers 0 1 2 1,653 83 159 229 5,653

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A note on the central limit theorem for bipower variation of general functions 0 0 0 19 7 9 10 83
Bias-correcting the realized range-based variance in the presence of market microstructure noise 0 0 0 41 4 6 12 165
Bipower-type estimation in a noisy diffusion setting 0 0 0 6 1 4 5 59
Estimation of Integrated Volatility in Continuous‐Time Financial Models with Applications to Goodness‐of‐Fit Testing 0 0 0 21 1 3 4 83
Microstructure noise in the continuous case: The pre-averaging approach 0 1 2 57 11 24 36 240
New tests for jumps in semimartingale models 1 1 1 41 1 1 2 100
Power variation for Gaussian processes with stationary increments 0 0 0 10 2 8 8 66
Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data 0 0 1 35 3 7 14 232
Quantitative Breuer-Major theorems 1 1 1 7 5 11 14 57
Realised quantile-based estimation of the integrated variance 0 0 0 33 4 4 8 209
Realized range-based estimation of integrated variance 0 0 3 108 3 4 17 352
Testing the local volatility assumption: a statistical approach 0 0 0 11 0 1 3 104
Testing the parametric form of the volatility in continuous time diffusion models--a stochastic process approach 0 0 0 31 5 6 7 113
Total Journal Articles 2 3 8 420 47 88 140 1,863

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Statistics updated 2026-02-12