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 0 1 8 742
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 0 1 3 235
A Range-Based Test for the Parametric Form of the Volatility in Diffusion Models 0 0 0 40 0 0 0 106
A Range-Based Test for the Parametric Form of the Volatility in Diffusion Models 0 0 0 9 0 0 0 80
A central limit theorem for realised power and bipower variations of continuous semimartingales 1 2 3 20 1 3 10 83
An Econometric Analysis of Modulated Realised Covariance, Regression and Correlation in Noisy Diffusion Models 0 0 0 62 0 1 1 133
An Econometric Analysis of Modulated Realised Covariance, Regression and Correlation in Noisy Diffusion Models 0 0 0 29 0 1 1 86
Asymptotic theory of range-based multipower variation 0 0 3 35 0 0 4 123
Bias-Correcting the Realized Range-Based Variance in the Presence of Market Microstructure Noise 0 0 0 9 0 0 2 82
Bipower variation for Gaussian processes with stationary increments 0 0 0 37 1 1 1 93
Bipower-type estimation in a noisy diffusion setting 0 0 0 24 1 1 1 82
Bipower-type estimation in a noisy diffusion setting 0 1 1 6 1 2 2 50
Estimation of Volatility Functionals in the Simultaneous Presence of Microstructure Noise and Jumps 0 0 0 59 1 2 2 170
Estimation of Volatility Functionals in the Simultaneous Presence of Microstructure Noise and Jumps 0 1 2 17 1 2 6 56
Estimation of integrated volatility in continuous time financial models with applications to goodness-of-fit testing 0 1 1 9 0 1 1 39
Fact or friction: Jumps at ultra high frequency 0 0 0 91 4 7 15 187
Limit theorems for functionals of higher order differences of Brownian semi-stationary processes 0 0 0 29 1 1 3 106
Microstructure Noise in the Continuous Case: The Pre-Averaging Approach - JLMPV-9 0 0 0 56 2 4 6 150
Microstructure noise in the continuous case: the pre-averaging approach 0 0 0 12 0 0 4 73
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 1 1 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 1 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 1 1 6 205
Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data 0 0 0 77 0 1 5 344
Quantitative Breuer-Major Theorems 0 0 0 14 0 1 2 63
Range-Based Estimation of Quadratic Variation 0 0 0 24 0 2 5 101
Realised Quantile-Based Estimation of the Integrated Variance 0 0 0 100 0 0 0 274
Testing the local volatility assumption: a statistical approach 0 0 0 48 1 1 1 108
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 1 1 1 106
Total Working Papers 1 5 13 1,565 17 37 101 4,735


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 1 1 9 1 4 10 49
Bias-correcting the realized range-based variance in the presence of market microstructure noise 0 0 0 39 0 0 1 138
Bipower-type estimation in a noisy diffusion setting 0 0 0 2 1 1 5 32
Estimation of Integrated Volatility in Continuous-Time Financial Models with Applications to Goodness-of-Fit Testing 0 0 0 20 0 0 0 69
Microstructure noise in the continuous case: The pre-averaging approach 0 0 1 43 0 1 7 136
New tests for jumps in semimartingale models 0 0 1 32 0 2 7 70
Power variation for Gaussian processes with stationary increments 0 0 0 8 1 1 1 41
Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data 0 2 2 25 0 2 10 159
Quantitative Breuer-Major theorems 0 0 0 6 0 0 0 32
Realised quantile-based estimation of the integrated variance 0 0 0 30 1 1 2 118
Realized range-based estimation of integrated variance 1 2 5 84 2 4 9 264
Testing the local volatility assumption: a statistical approach 0 0 0 11 1 1 2 90
Testing the parametric form of the volatility in continuous time diffusion models--a stochastic process approach 0 0 1 30 0 0 2 88
Understanding limit theorems for semimartingales: a short survey 1 1 1 8 2 3 5 39
Total Journal Articles 2 6 12 347 9 20 61 1,325


Statistics updated 2019-04-03