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 1 265 2 5 14 750
A Central Limit Theorem for Realised Power and Bipower Variations of Continuous Semimartingales 0 0 0 90 1 1 2 344
A Note on the Central Limit Theorem for Bipower Variation of General Functions 0 0 0 70 1 1 5 239
A Range-Based Test for the Parametric Form of the Volatility in Diffusion Models 0 0 0 9 0 0 0 80
A Range-Based Test for the Parametric Form of the Volatility in Diffusion Models 0 0 0 40 0 0 0 106
A central limit theorem for realised power and bipower variations of continuous semimartingales 0 0 3 21 0 1 6 85
An Econometric Analysis of Modulated Realised Covariance, Regression and Correlation in Noisy Diffusion Models 0 0 0 29 0 2 4 89
An Econometric Analysis of Modulated Realised Covariance, Regression and Correlation in Noisy Diffusion Models 0 0 0 62 0 0 3 135
Asymptotic theory of range-based multipower variation 0 0 2 35 0 0 4 124
Bias-Correcting the Realized Range-Based Variance in the Presence of Market Microstructure Noise 0 0 1 10 0 6 8 90
Bipower variation for Gaussian processes with stationary increments 0 0 0 37 1 1 2 94
Bipower-type estimation in a noisy diffusion setting 0 0 0 24 0 0 2 83
Bipower-type estimation in a noisy diffusion setting 0 0 1 6 0 4 6 54
Estimation of Volatility Functionals in the Simultaneous Presence of Microstructure Noise and Jumps 0 0 2 17 2 6 11 63
Estimation of Volatility Functionals in the Simultaneous Presence of Microstructure Noise and Jumps 0 1 1 60 4 5 9 177
Estimation of integrated volatility in continuous time financial models with applications to goodness-of-fit testing 0 0 1 9 0 0 1 39
Fact or friction: Jumps at ultra high frequency 0 0 0 91 0 0 14 190
Limit theorems for functionals of higher order differences of Brownian semi-stationary processes 0 0 1 30 0 2 7 110
Microstructure Noise in the Continuous Case: The Pre-Averaging Approach - JLMPV-9 0 0 0 56 0 0 4 150
Microstructure noise in the continuous case: the pre-averaging approach 0 0 1 13 1 1 5 76
Multipower Variation for Brownian Semistationary Processes 0 0 0 35 0 0 0 113
New tests for jumps: a threshold-based approach 0 0 1 47 0 0 2 92
On covariation estimation for multivariate continuous Itô semimartingales with noise in non-synchronous observation schemes 0 0 0 12 2 2 2 45
Power variation for Gaussian processes with stationary increments 0 0 0 82 0 1 2 225
Pre-Averaging Based Estimation of Quadratic Variation in the Presence of Noise and Jumps: Theory, Implementation, and Empirical Evidence 0 1 2 83 0 5 11 212
Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data 0 1 1 78 0 3 7 347
Quantitative Breuer-Major Theorems 0 0 0 14 0 0 1 63
Range-Based Estimation of Quadratic Variation 0 0 0 24 2 3 9 106
Realised Quantile-Based Estimation of the Integrated Variance 0 0 0 100 0 3 4 278
Testing the local volatility assumption: a statistical approach 0 0 0 48 0 0 2 109
Testing the parametric form of the volatility in continuous time diffusion models: an empirical process approach 0 0 0 14 0 0 4 43
Understanding limit theorems for semimartingales: a short survey 0 0 0 61 0 1 2 107
Total Working Papers 0 3 18 1,572 16 53 153 4,818


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 1 9 1 1 6 50
Bias-correcting the realized range-based variance in the presence of market microstructure noise 0 0 0 39 0 0 1 139
Bipower-type estimation in a noisy diffusion setting 0 0 0 2 0 0 2 32
Estimation of Integrated Volatility in Continuous‐Time Financial Models with Applications to Goodness‐of‐Fit Testing 0 0 0 20 0 0 1 70
Microstructure noise in the continuous case: The pre-averaging approach 0 1 1 44 1 3 8 143
New tests for jumps in semimartingale models 0 2 2 34 2 4 15 80
Power variation for Gaussian processes with stationary increments 0 0 0 8 1 1 2 42
Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data 0 0 2 25 2 4 8 163
Quantitative Breuer-Major theorems 0 0 0 6 0 0 1 33
Realised quantile-based estimation of the integrated variance 0 0 0 30 0 1 2 119
Realized range-based estimation of integrated variance 0 3 7 89 3 9 17 277
Testing the local volatility assumption: a statistical approach 0 0 0 11 0 1 2 91
Testing the parametric form of the volatility in continuous time diffusion models--a stochastic process approach 0 0 0 30 0 0 0 88
Total Journal Articles 0 6 13 347 10 24 65 1,327
1 registered items for which data could not be found


Statistics updated 2019-10-05