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 1 94 0 1 12 373
A Central Limit Theorem for Realised Power and Bipower Variations of Continuous Semimartingales 0 0 0 271 3 4 17 810
A Note on the Central Limit Theorem for Bipower Variation of General Functions 0 0 0 70 2 3 11 258
A Range-Based Test for the Parametric Form of the Volatility in Diffusion Models 0 0 0 43 1 1 12 129
A Range-Based Test for the Parametric Form of the Volatility in Diffusion Models 0 0 0 9 1 2 7 93
A central limit theorem for realised power and bipower variations of continuous semimartingales 0 0 0 29 1 1 9 125
An Econometric Analysis of Modulated Realised Covariance, Regression and Correlation in Noisy Diffusion Models 0 0 0 33 1 2 10 113
An Econometric Analysis of Modulated Realised Covariance, Regression and Correlation in Noisy Diffusion Models 0 0 0 63 9 9 17 161
Asymptotic theory of range-based multipower variation 0 0 1 37 1 1 9 149
Bias-Correcting the Realized Range-Based Variance in the Presence of Market Microstructure Noise 0 0 0 11 1 2 20 130
Bipower variation for Gaussian processes with stationary increments 0 0 0 37 1 1 11 115
Bipower-type estimation in a noisy diffusion setting 0 0 0 7 0 1 16 85
Bipower-type estimation in a noisy diffusion setting 0 0 0 25 2 2 12 106
Estimation of Volatility Functionals in the Simultaneous Presence of Microstructure Noise and Jumps 0 0 0 21 1 4 10 94
Estimation of Volatility Functionals in the Simultaneous Presence of Microstructure Noise and Jumps 0 0 1 65 1 3 11 213
Estimation of integrated volatility in continuous time financial models with applications to goodness-of-fit testing 0 0 0 11 0 0 11 55
Fact or friction: Jumps at ultra high frequency 0 0 0 98 1 1 12 263
Limit theorems for functionals of higher order differences of Brownian semi-stationary processes 0 0 0 30 1 2 16 134
Microstructure Noise in the Continuous Case: The Pre-Averaging Approach - JLMPV-9 0 0 0 59 2 4 19 196
Microstructure noise in the continuous case: the pre-averaging approach 0 0 0 17 0 1 14 124
Multipower Variation for Brownian Semistationary Processes 0 0 0 37 1 2 11 140
New tests for jumps: a threshold-based approach 0 0 0 49 3 3 11 114
On covariation estimation for multivariate continuous Itô semimartingales with noise in non-synchronous observation schemes 0 0 0 15 1 2 13 72
Power variation for Gaussian processes with stationary increments 0 0 0 83 1 1 10 243
Pre-Averaging Based Estimation of Quadratic Variation in the Presence of Noise and Jumps: Theory, Implementation, and Empirical Evidence 0 0 0 85 0 3 16 247
Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data 0 0 0 81 0 1 18 384
Quantitative Breuer-Major Theorems 0 0 0 15 1 2 11 93
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 2 2 11 340
Testing the local volatility assumption: a statistical approach 0 0 0 50 2 2 11 128
Testing the parametric form of the volatility in continuous time diffusion models: an empirical process approach 0 0 0 15 1 1 11 70
Understanding limit theorems for semimartingales: a short survey 0 0 0 64 2 2 9 140
Total Working Papers 0 0 3 1,655 43 66 396 5,851

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 1 2 14 171
Bipower-type estimation in a noisy diffusion setting 0 0 0 6 0 1 6 61
Estimation of Integrated Volatility in Continuous‐Time Financial Models with Applications to Goodness‐of‐Fit Testing 0 0 0 21 0 1 11 91
Microstructure noise in the continuous case: The pre-averaging approach 0 0 1 57 3 8 49 261
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 0 13 71
Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data 0 0 0 35 1 4 28 250
Quantitative Breuer-Major theorems 0 0 1 7 0 2 18 62
Realised quantile-based estimation of the integrated variance 0 0 0 33 1 2 11 213
Realized range-based estimation of integrated variance 0 1 1 109 4 6 16 361
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 10 27 200 1,955

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Statistics updated 2026-09-10