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 1 3 9 745
A Central Limit Theorem for Realised Power and Bipower Variations of Continuous Semimartingales 0 0 0 90 0 0 3 343
A Note on the Central Limit Theorem for Bipower Variation of General Functions 0 0 0 70 2 3 5 238
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 1 1 3 21 1 1 8 84
An Econometric Analysis of Modulated Realised Covariance, Regression and Correlation in Noisy Diffusion Models 0 0 0 62 1 2 3 135
An Econometric Analysis of Modulated Realised Covariance, Regression and Correlation in Noisy Diffusion Models 0 0 0 29 0 1 2 87
Asymptotic theory of range-based multipower variation 0 0 2 35 0 1 4 124
Bias-Correcting the Realized Range-Based Variance in the Presence of Market Microstructure Noise 0 1 1 10 0 2 3 84
Bipower variation for Gaussian processes with stationary increments 0 0 0 37 0 0 1 93
Bipower-type estimation in a noisy diffusion setting 0 0 1 6 0 0 2 50
Bipower-type estimation in a noisy diffusion setting 0 0 0 24 0 1 2 83
Estimation of Volatility Functionals in the Simultaneous Presence of Microstructure Noise and Jumps 0 0 0 59 1 2 4 172
Estimation of Volatility Functionals in the Simultaneous Presence of Microstructure Noise and Jumps 0 0 2 17 1 1 7 57
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 1 3 17 190
Limit theorems for functionals of higher order differences of Brownian semi-stationary processes 0 1 1 30 0 2 5 108
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 1 1 13 1 2 5 75
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 0 0 0 43
Power variation for Gaussian processes with stationary increments 0 0 0 82 0 0 2 224
Pre-Averaging Based Estimation of Quadratic Variation in the Presence of Noise and Jumps: Theory, Implementation, and Empirical Evidence 0 0 1 82 0 2 8 207
Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data 0 0 0 77 0 0 4 344
Quantitative Breuer-Major Theorems 0 0 0 14 0 0 1 63
Range-Based Estimation of Quadratic Variation 0 0 0 24 1 2 6 103
Realised Quantile-Based Estimation of the Integrated Variance 0 0 0 100 0 1 1 275
Testing the local volatility assumption: a statistical approach 0 0 0 48 0 1 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 0 1 106
Total Working Papers 1 4 15 1,569 10 30 116 4,765


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 0 0 8 49
Bias-correcting the realized range-based variance in the presence of market microstructure noise 0 0 0 39 1 1 2 139
Bipower-type estimation in a noisy diffusion setting 0 0 0 2 0 0 4 32
Estimation of Integrated Volatility in Continuous-Time Financial Models with Applications to Goodness-of-Fit Testing 0 0 0 20 1 1 1 70
Microstructure noise in the continuous case: The pre-averaging approach 0 0 0 43 1 4 6 140
New tests for jumps in semimartingale models 0 0 0 32 1 6 12 76
Power variation for Gaussian processes with stationary increments 0 0 0 8 0 0 1 41
Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data 0 0 2 25 0 0 6 159
Quantitative Breuer-Major theorems 0 0 0 6 0 1 1 33
Realised quantile-based estimation of the integrated variance 0 0 0 30 0 0 2 118
Realized range-based estimation of integrated variance 1 2 7 86 2 4 12 268
Testing the local volatility assumption: a statistical approach 0 0 0 11 0 0 2 90
Testing the parametric form of the volatility in continuous time diffusion models--a stochastic process approach 0 0 0 30 0 0 0 88
Understanding limit theorems for semimartingales: a short survey 0 0 1 8 0 0 4 39
Total Journal Articles 1 2 11 349 6 17 61 1,342


Statistics updated 2019-07-03