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Details about Kim Christensen

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Workplace:Center for Research in Econometric Analysis of Time Series (CREATES), Institut for Økonomi (Department of Economics and Business), Aarhus Universitet (University of Aarhus), (more information at EDIRC)

Access statistics for papers by Kim Christensen.

Last updated 2014-05-28. Update your information in the RePEc Author Service.

Short-id: pch745


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Working Papers

2011

  1. Asymptotic theory of range-based multipower variation
    CREATES Research Papers, School of Economics and Management, University of Aarhus Downloads
    See also Journal Article in Journal of Financial Econometrics (2012)
  2. Fact or friction: Jumps at ultra high frequency
    CREATES Research Papers, School of Economics and Management, University of Aarhus Downloads View citations (5)
  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 Downloads View citations (5)
    See also Journal Article in Journal of Multivariate Analysis (2013)

2010

  1. Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data
    Post-Print, HAL Downloads View citations (5)
    Also in Post-Print, HAL (2010) Downloads View citations (16)
    CREATES Research Papers, School of Economics and Management, University of Aarhus (2009) Downloads View citations (11)

    See also Journal Article in Journal of Econometrics (2010)
  2. Realised quantile-based estimation of the integrated variance
    Post-Print, HAL Downloads View citations (1)
    Also in CREATES Research Papers, School of Economics and Management, University of Aarhus (2009) Downloads View citations (18)
    Post-Print, HAL (2010) Downloads View citations (10)

    See also Journal Article in Journal of Econometrics (2010)

2006

  1. 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 Downloads
    See also Journal Article in Finance and Stochastics (2009)
  2. Range-Based Estimation of Quadratic Variation
    Technical Reports, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen Downloads View citations (13)

2005

  1. 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 Downloads View citations (13)

Journal Articles

2013

  1. On covariation estimation for multivariate continuous Itô semimartingales with noise in non-synchronous observation schemes
    Journal of Multivariate Analysis, 2013, 120, (C), 59-84 Downloads View citations (2)
    See also Working Paper (2011)

2012

  1. Asymptotic Theory of Range-Based Multipower Variation
    Journal of Financial Econometrics, 2012, 10, (3), 417-456 Downloads View citations (2)
    See also Working Paper (2011)

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 Downloads View citations (19)
    See also Working Paper (2010)
  2. Realised quantile-based estimation of the integrated variance
    Journal of Econometrics, 2010, 159, (1), 74-98 Downloads View citations (15)
    See also Working Paper (2010)

2009

  1. Bias-correcting the realized range-based variance in the presence of market microstructure noise
    Finance and Stochastics, 2009, 13, (2), 239-268 Downloads View citations (7)
    See also Working Paper (2006)

2007

  1. Realized range-based estimation of integrated variance
    Journal of Econometrics, 2007, 141, (2), 323-349 Downloads View citations (56)
 
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