Details about Mark Podolskij

Access statistics for papers by Mark Podolskij.

Last updated 2012-04-22. Update your information in the RePEc Author Service.

Short-id: ppo225

Working Papers

2011

1. Asymptotic theory of range-based multipower variation
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University
2. Fact or friction: Jumps at ultra high frequency
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (8)
3. On covariation estimation for multivariate continuous Itô semimartingales with noise in non-synchronous observation schemes
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (7)
4. Testing the local volatility assumption: a statistical approach
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (2)
   See also Journal Article Testing the local volatility assumption: a statistical approach, Annals of Finance, Springer (2012) View citations (3) (2012)

2010

5. Pre-Averaging Based Estimation of Quadratic Variation in the Presence of Noise and Jumps: Theory, Implementation, and Empirical Evidence
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (13)
6. Quantitative Breuer-Major Theorems
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University
   See also Journal Article Quantitative Breuer-Major theorems, Stochastic Processes and their Applications, Elsevier (2011) View citations (12) (2011)

2009

7. Limit theorems for functionals of higher order differences of Brownian semi-stationary processes
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (1)
8. Multipower Variation for Brownian Semistationary Processes
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (5)
9. Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (12)
   See also Journal Article Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data, Journal of Econometrics, Elsevier (2010) View citations (147) (2010)
10. Realised Quantile-Based Estimation of the Integrated Variance
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (23)
    See also Journal Article Realised quantile-based estimation of the integrated variance, Journal of Econometrics, Elsevier (2010) View citations (57) (2010)
11. Understanding limit theorems for semimartingales: a short survey
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (3)

2008

12. A Range-Based Test for the Parametric Form of the Volatility in Diffusion Models
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (3)
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2007)
13. An Econometric Analysis of Modulated Realised Covariance, Regression and Correlation in Noisy Diffusion Models
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (4)
    Also in OFRC Working Papers Series, Oxford Financial Research Centre (2008) View citations (6)
14. Bipower variation for Gaussian processes with stationary increments
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (2)
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2007) View citations (4)
    See also Journal Article Power variation for Gaussian processes with stationary increments, Stochastic Processes and their Applications, Elsevier (2009) View citations (28) (2009)
15. Bipower-type estimation in a noisy diffusion setting
    Technical Reports, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen View citations (2)
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2008) View citations (5)
    See also Journal Article Bipower-type estimation in a noisy diffusion setting, Stochastic Processes and their Applications, Elsevier (2009) View citations (39) (2009)
16. New tests for jumps: a threshold-based approach
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (3)

2007

17. A Note on the Central Limit Theorem for Bipower Variation of General Functions
    OFRC Working Papers Series, Oxford Financial Research Centre View citations (11)
    See also Journal Article A note on the central limit theorem for bipower variation of general functions, Stochastic Processes and their Applications, Elsevier (2008) View citations (29) (2008)
18. Estimation of Volatility Functionals in the Simultaneous Presence of Microstructure Noise and Jumps
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (22)
    Also in Technical Reports, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen (2006) View citations (11)
19. Microstructure Noise in the Continuous Case: The Pre-Averaging Approach - JLMPV-9
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (27)
20. Microstructure noise in the continuous case: the pre-averaging approach
    Technical Reports, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen View citations (21)
    See also Journal Article Microstructure noise in the continuous case: The pre-averaging approach, Stochastic Processes and their Applications, Elsevier (2009) View citations (294) (2009)

2006

21. 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 Bias-correcting the realized range-based variance in the presence of market microstructure noise, Finance and Stochastics, Springer (2009) View citations (22) (2009)
22. Range-Based Estimation of Quadratic Variation
    Technical Reports, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen View citations (27)

2005

23. Testing the parametric form of the volatility in continuous time diffusion models: an empirical process approach
    Technical Reports, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen View citations (4)

2004

24. A Central Limit Theorem for Realised Power and Bipower Variations of Continuous Semimartingales
    Economics Papers, Economics Group, Nuffield College, University of Oxford View citations (28)
    Also in OFRC Working Papers Series, Oxford Financial Research Centre (2004) View citations (29)
    Technical Reports, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen (2004) View citations (28)
25. Estimation of integrated volatility in continuous time financial models with applications to goodness-of-fit testing
    Technical Reports, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen View citations (1)
    See also Journal Article Estimation of Integrated Volatility in Continuous‐Time Financial Models with Applications to Goodness‐of‐Fit Testing, Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics (2006) View citations (32) (2006)

Journal Articles

2012

1. Testing the local volatility assumption: a statistical approach
   Annals of Finance, 2012, 8, (1), 31-48 View citations (3)
   See also Working Paper Testing the local volatility assumption: a statistical approach, CREATES Research Papers (2011) View citations (2) (2011)

2011

2. Quantitative Breuer-Major theorems
   Stochastic Processes and their Applications, 2011, 121, (4), 793-812 View citations (12)
   See also Working Paper Quantitative Breuer-Major Theorems, CREATES Research Papers (2010) (2010)

2010

3. New tests for jumps in semimartingale models
   Statistical Inference for Stochastic Processes, 2010, 13, (1), 15-41 View citations (37)
4. 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 (147)
   See also Working Paper Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data, CREATES Research Papers (2009) View citations (12) (2009)
5. Realised quantile-based estimation of the integrated variance
   Journal of Econometrics, 2010, 159, (1), 74-98 View citations (57)
   See also Working Paper Realised Quantile-Based Estimation of the Integrated Variance, CREATES Research Papers (2009) View citations (23) (2009)

2009

6. Bias-correcting the realized range-based variance in the presence of market microstructure noise
   Finance and Stochastics, 2009, 13, (2), 239-268 View citations (22)
   See also Working Paper Bias-Correcting the Realized Range-Based Variance in the Presence of Market Microstructure Noise, Technical Reports (2006) (2006)
7. Bipower-type estimation in a noisy diffusion setting
   Stochastic Processes and their Applications, 2009, 119, (9), 2803-2831 View citations (39)
   See also Working Paper Bipower-type estimation in a noisy diffusion setting, Technical Reports (2008) View citations (2) (2008)
8. Microstructure noise in the continuous case: The pre-averaging approach
   Stochastic Processes and their Applications, 2009, 119, (7), 2249-2276 View citations (294)
   See also Working Paper Microstructure noise in the continuous case: the pre-averaging approach, Technical Reports (2007) View citations (21) (2007)
9. Power variation for Gaussian processes with stationary increments
   Stochastic Processes and their Applications, 2009, 119, (6), 1845-1865 View citations (28)
   See also Working Paper Bipower variation for Gaussian processes with stationary increments, CREATES Research Papers (2008) View citations (2) (2008)

2008

10. A note on the central limit theorem for bipower variation of general functions
    Stochastic Processes and their Applications, 2008, 118, (6), 1056-1070 View citations (29)
    See also Working Paper A Note on the Central Limit Theorem for Bipower Variation of General Functions, OFRC Working Papers Series (2007) View citations (11) (2007)
11. Testing the parametric form of the volatility in continuous time diffusion models--a stochastic process approach
    Journal of Econometrics, 2008, 143, (1), 56-73 View citations (28)

2007

12. Realized range-based estimation of integrated variance
    Journal of Econometrics, 2007, 141, (2), 323-349 View citations (134)

2006

13. Estimation of Integrated Volatility in Continuous‐Time Financial Models with Applications to Goodness‐of‐Fit Testing
    Scandinavian Journal of Statistics, 2006, 33, (2), 259-278 View citations (32)
    See also Working Paper Estimation of integrated volatility in continuous time financial models with applications to goodness-of-fit testing, Technical Reports (2004) View citations (1) (2004)