Details about Kim Christensen

Access statistics for papers by Kim Christensen.

Last updated 2015-12-15. Update your information in the RePEc Author Service.

Short-id: pch745

Working Papers

2015

1. Inference from high-frequency data: A subsampling approach
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (2)

2011

2. Asymptotic theory of range-based multipower variation
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University
   See also Journal Article Asymptotic Theory of Range-Based Multipower Variation, Journal of Financial Econometrics, Oxford University Press (2012) View citations (14) (2012)
3. Fact or friction: Jumps at ultra high frequency
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (8)
   See also Journal Article Fact or friction: Jumps at ultra high frequency, Journal of Financial Economics, Elsevier (2014) View citations (119) (2014)
4. 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)
   See also Journal Article On covariation estimation for multivariate continuous Itô semimartingales with noise in non-synchronous observation schemes, Journal of Multivariate Analysis, Elsevier (2013) View citations (42) (2013)

2010

5. Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data
   Post-Print, HAL View citations (134)
   Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2009) 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)
6. Realised quantile-based estimation of the integrated variance
   Post-Print, HAL View citations (55)
   Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2009) View citations (23)
   See also Journal Article Realised quantile-based estimation of the integrated variance, Journal of Econometrics, Elsevier (2010) View citations (57) (2010)

2006

7. 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 (21) (2009)
8. Range-Based Estimation of Quadratic Variation
   Technical Reports, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen View citations (27)

2005

9. 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 (15)

Journal Articles

2014

1. Fact or friction: Jumps at ultra high frequency
   Journal of Financial Economics, 2014, 114, (3), 576-599 View citations (119)
   See also Working Paper Fact or friction: Jumps at ultra high frequency, CREATES Research Papers (2011) View citations (8) (2011)

2013

2. On covariation estimation for multivariate continuous Itô semimartingales with noise in non-synchronous observation schemes
   Journal of Multivariate Analysis, 2013, 120, (C), 59-84 View citations (42)
   See also Working Paper On covariation estimation for multivariate continuous Itô semimartingales with noise in non-synchronous observation schemes, CREATES Research Papers (2011) View citations (7) (2011)

2012

3. Asymptotic Theory of Range-Based Multipower Variation
   Journal of Financial Econometrics, 2012, 10, (3), 417-456 View citations (14)
   See also Working Paper Asymptotic theory of range-based multipower variation, CREATES Research Papers (2011) (2011)

2010

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, Post-Print (2010) View citations (134) (2010)
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, Post-Print (2010) View citations (55) (2010)

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 (21)
   See also Working Paper Bias-Correcting the Realized Range-Based Variance in the Presence of Market Microstructure Noise, Technical Reports (2006) (2006)

2007

7. Realized range-based estimation of integrated variance
   Journal of Econometrics, 2007, 141, (2), 323-349 View citations (132)