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 93 0 1 1 361
A Central Limit Theorem for Realised Power and Bipower Variations of Continuous Semimartingales 0 0 0 271 0 2 6 793
A Note on the Central Limit Theorem for Bipower Variation of General Functions 0 0 0 70 0 0 3 247
A Range-Based Test for the Parametric Form of the Volatility in Diffusion Models 0 0 0 9 0 0 1 86
A Range-Based Test for the Parametric Form of the Volatility in Diffusion Models 0 0 0 43 0 0 0 117
A central limit theorem for realised power and bipower variations of continuous semimartingales 0 0 0 29 0 0 1 116
An Econometric Analysis of Modulated Realised Covariance, Regression and Correlation in Noisy Diffusion Models 0 0 0 33 0 0 0 103
An Econometric Analysis of Modulated Realised Covariance, Regression and Correlation in Noisy Diffusion Models 0 0 0 63 0 0 0 144
Asymptotic theory of range-based multipower variation 0 0 0 36 0 1 2 140
Bias-Correcting the Realized Range-Based Variance in the Presence of Market Microstructure Noise 0 0 0 11 0 0 2 110
Bipower variation for Gaussian processes with stationary increments 0 0 0 37 0 1 1 104
Bipower-type estimation in a noisy diffusion setting 0 0 0 7 0 1 2 69
Bipower-type estimation in a noisy diffusion setting 0 0 0 25 0 0 0 94
Estimation of Volatility Functionals in the Simultaneous Presence of Microstructure Noise and Jumps 0 0 1 64 0 0 2 202
Estimation of Volatility Functionals in the Simultaneous Presence of Microstructure Noise and Jumps 0 0 0 21 1 1 3 84
Estimation of integrated volatility in continuous time financial models with applications to goodness-of-fit testing 0 0 0 11 0 0 1 44
Fact or friction: Jumps at ultra high frequency 0 0 1 98 1 4 8 251
Limit theorems for functionals of higher order differences of Brownian semi-stationary processes 0 0 0 30 0 0 2 118
Microstructure Noise in the Continuous Case: The Pre-Averaging Approach - JLMPV-9 0 0 0 59 0 2 3 177
Microstructure noise in the continuous case: the pre-averaging approach 0 0 0 17 0 0 1 110
Multipower Variation for Brownian Semistationary Processes 0 0 0 37 0 0 1 129
New tests for jumps: a threshold-based approach 0 0 0 49 0 0 1 103
On covariation estimation for multivariate continuous Itô semimartingales with noise in non-synchronous observation schemes 0 0 0 15 1 1 3 59
Power variation for Gaussian processes with stationary increments 0 0 0 83 0 0 1 233
Pre-Averaging Based Estimation of Quadratic Variation in the Presence of Noise and Jumps: Theory, Implementation, and Empirical Evidence 0 0 0 85 0 0 0 231
Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data 0 0 1 81 1 2 4 366
Quantitative Breuer-Major Theorems 0 0 0 15 0 1 1 82
Range-Based Estimation of Quadratic Variation 0 0 0 30 0 1 2 146
Realised Quantile-Based Estimation of the Integrated Variance 0 0 0 101 1 1 1 329
Testing the local volatility assumption: a statistical approach 0 0 0 50 0 0 0 117
Testing the parametric form of the volatility in continuous time diffusion models: an empirical process approach 0 0 0 15 0 0 0 59
Understanding limit theorems for semimartingales: a short survey 0 0 0 64 0 0 1 131
Total Working Papers 0 0 3 1,652 5 19 54 5,455

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 1 73
Bias-correcting the realized range-based variance in the presence of market microstructure noise 0 0 1 41 1 3 6 157
Bipower-type estimation in a noisy diffusion setting 0 0 0 6 1 1 2 55
Estimation of Integrated Volatility in Continuous‐Time Financial Models with Applications to Goodness‐of‐Fit Testing 0 0 0 21 1 1 2 80
Microstructure noise in the continuous case: The pre-averaging approach 0 0 2 56 1 5 11 212
New tests for jumps in semimartingale models 0 0 0 40 0 0 1 99
Power variation for Gaussian processes with stationary increments 0 0 0 10 0 0 1 58
Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data 0 1 2 35 0 3 11 222
Quantitative Breuer-Major theorems 0 0 0 6 1 1 1 44
Realised quantile-based estimation of the integrated variance 0 0 0 33 0 1 2 202
Realized range-based estimation of integrated variance 0 2 4 108 1 6 16 345
Testing the local volatility assumption: a statistical approach 0 0 0 11 0 0 0 101
Testing the parametric form of the volatility in continuous time diffusion models--a stochastic process approach 0 0 0 31 0 1 3 107
Total Journal Articles 0 3 9 417 6 22 57 1,755

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Statistics updated 2025-09-05