Details about Kim Christensen

Access statistics for papers by Kim Christensen.

Last updated 2012-01-28. Update your information in the RePEc Author Service.

Short-id: pch745

Working Papers

2011

1. Asymptotic theory of range-based multipower variation
   CREATES Research Papers, School of Economics and Management, University of Aarhus
2. Fact or friction: Jumps at ultra high frequency
   CREATES Research Papers, School of Economics and Management, University of Aarhus View citations (2)
3. On covariation estimation for multivariate continuous Itô semimartingales with noise in non-synchronous observation schemes
   CREATES Research Papers, School of Economics and Management, University of Aarhus View citations (1)

2009

4. Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data
   CREATES Research Papers, School of Economics and Management, University of Aarhus View citations (7)
   See also Journal Article in Journal of Econometrics (2010)
5. Realised Quantile-Based Estimation of the Integrated Variance
   CREATES Research Papers, School of Economics and Management, University of Aarhus View citations (18)
   See also Journal Article in Journal of Econometrics (2010)

2006

6. Bias-Correcting the Realized Range-Based Variance in the Presence of Market Microstructure Noise
   Technical Reports, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen
   See also Journal Article in Finance and Stochastics (2009)
7. Range-Based Estimation of Quadratic Variation
   Technical Reports, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen View citations (15)

2005

8. Asymptotic theory for range-based estimation of integrated variance of a continuous semi-martingale
   Technical Reports, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen View citations (12)

Journal Articles

2010

1. Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data
   Journal of Econometrics, 2010, 159, (1), 116-133 View citations (6)
   See also Working Paper (2009)
2. Realised quantile-based estimation of the integrated variance
   Journal of Econometrics, 2010, 159, (1), 74-98 View citations (7)
   See also Working Paper (2009)

2009

3. Bias-correcting the realized range-based variance in the presence of market microstructure noise
   Finance and Stochastics, 2009, 13, (2), 239-268 View citations (3)
   See also Working Paper (2006)

2007

4. Realized range-based estimation of integrated variance
   Journal of Econometrics, 2007, 141, (2), 323-349 View citations (36)