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 0 0 271 1 1 14 807
A Central Limit Theorem for Realised Power and Bipower Variations of Continuous Semimartingales 0 0 1 94 0 3 12 373
A Note on the Central Limit Theorem for Bipower Variation of General Functions 0 0 0 70 1 1 9 256
A Range-Based Test for the Parametric Form of the Volatility in Diffusion Models 0 0 0 9 0 2 6 92
A Range-Based Test for the Parametric Form of the Volatility in Diffusion Models 0 0 0 43 0 0 11 128
A central limit theorem for realised power and bipower variations of continuous semimartingales 0 0 0 29 0 0 8 124
An Econometric Analysis of Modulated Realised Covariance, Regression and Correlation in Noisy Diffusion Models 0 0 0 33 0 1 9 112
An Econometric Analysis of Modulated Realised Covariance, Regression and Correlation in Noisy Diffusion Models 0 0 0 63 0 0 8 152
Asymptotic theory of range-based multipower variation 0 0 1 37 0 0 8 148
Bias-Correcting the Realized Range-Based Variance in the Presence of Market Microstructure Noise 0 0 0 11 0 3 19 129
Bipower variation for Gaussian processes with stationary increments 0 0 0 37 0 1 10 114
Bipower-type estimation in a noisy diffusion setting 0 0 0 25 0 0 10 104
Bipower-type estimation in a noisy diffusion setting 0 0 0 7 0 1 16 85
Estimation of Volatility Functionals in the Simultaneous Presence of Microstructure Noise and Jumps 0 0 0 21 3 4 10 93
Estimation of Volatility Functionals in the Simultaneous Presence of Microstructure Noise and Jumps 0 0 1 65 1 2 10 212
Estimation of integrated volatility in continuous time financial models with applications to goodness-of-fit testing 0 0 0 11 0 1 11 55
Fact or friction: Jumps at ultra high frequency 0 0 0 98 0 2 12 262
Limit theorems for functionals of higher order differences of Brownian semi-stationary processes 0 0 0 30 1 2 15 133
Microstructure Noise in the Continuous Case: The Pre-Averaging Approach - JLMPV-9 0 0 0 59 1 2 17 194
Microstructure noise in the continuous case: the pre-averaging approach 0 0 0 17 1 1 14 124
Multipower Variation for Brownian Semistationary Processes 0 0 0 37 0 3 10 139
New tests for jumps: a threshold-based approach 0 0 0 49 0 0 8 111
On covariation estimation for multivariate continuous Itô semimartingales with noise in non-synchronous observation schemes 0 0 0 15 1 2 13 71
Power variation for Gaussian processes with stationary increments 0 0 0 83 0 1 9 242
Pre-Averaging Based Estimation of Quadratic Variation in the Presence of Noise and Jumps: Theory, Implementation, and Empirical Evidence 0 0 0 85 2 4 16 247
Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data 0 0 0 81 0 2 19 384
Quantitative Breuer-Major Theorems 0 0 0 15 1 1 10 92
Range-Based Estimation of Quadratic Variation 0 0 0 30 0 0 8 154
Realised Quantile-Based Estimation of the Integrated Variance 0 0 0 101 0 1 10 338
Testing the local volatility assumption: a statistical approach 0 0 0 50 0 0 9 126
Testing the parametric form of the volatility in continuous time diffusion models: an empirical process approach 0 0 0 15 0 2 10 69
Understanding limit theorems for semimartingales: a short survey 0 0 0 64 0 0 7 138
Total Working Papers 0 0 3 1,655 13 43 358 5,808

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 0 0 13 86
Bias-correcting the realized range-based variance in the presence of market microstructure noise 0 0 0 41 0 1 14 170
Bipower-type estimation in a noisy diffusion setting 0 0 0 6 0 1 7 61
Estimation of Integrated Volatility in Continuous‐Time Financial Models with Applications to Goodness‐of‐Fit Testing 0 0 0 21 1 2 12 91
Microstructure noise in the continuous case: The pre-averaging approach 0 0 1 57 4 9 47 258
New tests for jumps in semimartingale models 0 0 1 41 0 1 4 103
Power variation for Gaussian processes with stationary increments 0 0 0 10 0 1 13 71
Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data 0 0 0 35 2 5 27 249
Quantitative Breuer-Major theorems 0 0 1 7 2 4 19 62
Realised quantile-based estimation of the integrated variance 0 0 0 33 1 2 10 212
Realized range-based estimation of integrated variance 0 1 1 109 1 3 13 357
Testing the local volatility assumption: a statistical approach 0 0 1 12 0 0 10 111
Testing the parametric form of the volatility in continuous time diffusion models--a stochastic process approach 0 0 0 31 0 0 7 114
Total Journal Articles 0 1 5 422 11 29 196 1,945

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Statistics updated 2026-08-07